Tuesday, April 23, 2019

Generalized Autoregressive Score (GAS) Models: EViews Plays with Python

Starting with EViews 11, users can take advantage of communication between EViews and Python. This means that workflow can begin in EViews, switch over to Python, and be brought back into EViews seamlessly. To demonstrate this feature, we will use U.S. macroeconomic data on the unemployment rate to fit a GARCH model in EViews, transfer the data over and estimate a GAS model equivalent of the GARCH model in Python, transfer the data back to EViews, and compare the results.

Seasonal Unit Root Tests

Author and guest post by Nicolas Ronderos

In this blog entry we will offer a brief discussion on some aspects of seasonal non-stationarity and discuss two popular seasonal unit root tests. In particular, we will cover the Hylleberg, Engle, Granger, and Yoo (1990) and Canova and Hansen (1995) tests and demonstrate practically using EViews how the latter can be used to detect the presence of seasonal unit roots in a US macroeconomic time series. All files used in this exercise can be downloaded at the end of the entry.