Wednesday, December 9, 2015

Add-in Round Up

In this section of the blog we provide a summary of the Add-ins that have been released or updated in the previous few months, and we announce the winner of our “Add-in of the Quarter” prize!

As a reminder, EViews Add-ins are additions to the EViews interface or command language written by our users or the EViews development team and released to the public. You can install Add-ins to your EViews by using the Add-ins menu from within EViews, or by visiting the EViews website.

The past few months have seen the release of three new Add-ins: HEGY, Backtest and FAVAR.


HEGY

The HEGY add-in, written by Nicolas Ronderos, performs the HEGY seasonal unit root tests of biannual, quarterly or monthly data, based on papers by Hylleberg, Engle, Granger and Yoo1, Franses2, and Franses and Hobijn3.

Seasonal unit root tests have become popular in recent years as more emphasis has been placed on studying seasonal patterns in economic data, and in particular the stationarity of such data at seasonal frequencies.

The HEGY unit root test is probably the most popular seasonal unit root test, and Nicolas’ Add-in does a great job of implementing it in EViews.

Backtest

The Backtest Add-in was written as a side project by Rebecca, a member of the EViews development team. The Add-in calculates a number of different metrics to evaluate portfolio properties and performance, and allows the user to enter a range of different parameters for the evaluation. These metrics include value added, information ratio, notional exposure, and turnover.

This Add-in builds upon earlier Add-ins aimed at financial practices, such as the Fama-Macbeth, GetStocks, irrval, Mishkin, PairsTrade and TechAsis Add-ins.


FAVAR

FAVAR estimates a Factor Augmented Vector Auto-Regression using the two-step principal components approach of Bernanke, Boivin, and Eliasz4. It was written by EViews user Davaajargal Luvsannyam.

FAVAR models have become popular in macroeconomic analysis of monetary policy as they help to alleviate some of the issues associated with estimating low-dimension standard VAR and Structural VAR models. By using factor analysis to reduce the dimensionality of large data sets, FAVARs allow VAR modelling without loss of information.

The FAVAR Add-in is a fantastic addition to the macro-economic tools available in EViews.


Quarterly Prize

While both HEGY and FAVAR are impressive Add-ins that harness EViews’ power to offer robust tools for analysis, the winner of the “Add-in of the Quarter” and a $500 prize goes to Davaajargal Luvsannyam’s FAVAR Add-in … Congratulations!

For more information on writing Add-ins, you can read the Add-in chapter of the online help, visit the Add-in writer’s forum, or send an email to support@eviews.com.  If you would like to submit an Add-in, or would like more information on the Quarterly Prize, or student Add-in writing sponsorship opportunities, please also email support@eviews.com.





1Seasonal integration and cointegration, Journal of Econometrics, 44(1):215-238, 1990.
2Seasonality, non-stationarity and the forecasting of monthly time series, International Journal of Forecasting, 7(2):199-208, 1991
3Critical values for unit root tests in seasonal time series, Journal of Applied Statistics, 24(1):25-48, 1997
4Measuring the effects of monetary policy - a factor-augmented vector autoregressive (FAVAR) approach, Quarterly Journal of Economics, 120(1):387-422, 2005.


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