Dumitrescu-Hurlin Panel Granger Causality Tests: A Monte Carlo Study

With data availability at its historical peak, time series panel econometrics is in the limelight. Unlike traditional panel data in which each cross section $i = 1, \ldots, N$ is associated with $t=1, \ldots, T < N$ observations, what characterizes time series panel data is that $N$ and $T$ can both be very large. Moreover, the time dimension also gives rise to temporal dynamic information and with it, the ability to test for serial correlation, unit roots, cointegration, and in this regard, also Granger causality.

Hamilton’s “Why you should never use the Hodrick-Prescott Filter”

Professor James D. Hamilton requires no introduction, having been one of the most important researchers in time series econometrics for decades.

Over the past few years, Hamilton has been working on a paper calling on applied economists to abandon the ubiquitous Hodrick-Prescott Filter and replace it with a much simpler method of extracting trend and cycle information from a time series.

This paper has become popular, and a number of our users have asked how to replicate it in EViews. One of our users, Greg Thornton, has written an EViews add-in (called Hamilton) that performs Hamilton’s method.  However, given its relative simplicity, we thought we’d use a blog post to show manual calculation of the method and replicate the results in Hamilton’s paper.

AutoRegressive Distributed Lag (ARDL) Estimation. Part 3 - Practice

In Part 1 and Part 2 of this series, we discussed the theory behind ARDL and the Bounds Test for cointegration. Here, we demonstrate just how easily everything can be done in EViews 9 or higher.

While our two previous posts in this series have been heavily theoretically motivated, here we present a step by step procedure on how to implement Part 1 and Part 2 in practice.

AutoRegressive Distributed Lag (ARDL) Estimation. Part 2 - Inference

This is the second part of our AutoRegressive Distributed Lag (ARDL) post. For Part 1, please go here, and for Part 3, please visit here.

In this post we outline the correct theoretical underpinning of the inference behind the Bounds test for cointegration in an ARDL model. Whilst the discussion is by its nature quite technical, it is important that practitioners of the Bounds test have a grasp of the background behind its inferences.

Dynamic Factor Models in EViews

One of the current buzz topics in macro-econometrics is that of dynamic factor models. 

Factor models allow researchers to work with a large number of variables by reducing them down to a handful (often two) components, allowing tractable results to be obtained from unwieldy data. 

A natural extension to factor models is to allow dynamics to enter the relationships.  These dynamic factor models have become extremely popular due to their ability to model business cycles, and perform both forecasting and nowcasting (predicting the current state of the economy).

Although EViews has built-in factor analysis, we do not (yet!) have dynamic factor models included. 

Luckily two researchers from the Ministry of Finance in Sweden have recently posted a paper, and corresponding code, that estimates dynamic factor models in EViews with a simple programming subroutine utilising EViews' state-space estimation object.

This paper looks fantastic - good job guys!

AutoRegressive Distributed Lag (ARDL) Estimation. Part 1 - Theory

One of our favorite bloggers, Dave Giles often writes about current trends in econometric theory and practice. One of his most popular topics is ARDL modeling, and he has a number of fantastic posts about it.

Since we have recently updated ARDL estimation in EViews 9.5, and are in the midst of adding some enhanced features to ARDL for the next version of EViews, EViews 10, we thought we would jot down our own thoughts on the theory and practice of ARDL models, particularly in regard to their use as a cointegration test.

This blog post will be in three parts. The first will discuss the theory behind ARDL models, the second will present the theory behind correct inference of the Bounds test, while the third will bring everything together with an example in EViews.

EViews Add-In: Importing Ken French’s Data Library

Background

The frenchdata add-in is designed to make it easier and faster to download data from Ken French's data library. The data in the library are in zipped *.txt or *.csv files, many with multiple data sets and mixed date formats that can be tedious to import. This add-in, in contrast, is straightforward and requires minimal input. After downloading and processing each file is put in a separate workfile, multiple datasets in a single file are separated and each one is put in a separate page, data columns are put into series, and date formats are read from the files and applied to the page(s) of the workfile.