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http://www.eviews.com/EViews7/ev7eccomp_n.html

EViews 7 New Econometrics and Statistics: Computation

EViews 7 features a number of additions and improvements to its toolbox of basic statistical procedures.

Among the highlights are new tools for interpolation, whitening regression, long-run covariance calculation,

variance ratio testing, and single-equation cointegration testing.

Interpolation

EViews 7 now offers built-in interpolation series to fill in missing values within a series. EViews offers a

number of different algorithms for performing the interpolation: inear, og- inear, the !atmull-"om #pline,

and the !ardinal #pline.

Whitening

EViews now offers eas$-to-use tools for whitening a series or group of series using A" or VA" regressions,

respectivel$. %hitening can be performed with or without a constant and row weights, using a fixed or info-

criterion based lag selection. &he coefficients of the whitening regression ma$ be saved.

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Long-run Covariances

'ou ma$ now compute estimates of the long-run variance of a series or the long-run covariance matrix of a

group of series. 'ou will find this feature in the View menu of a series or a group ob(ect.

EViews provides powerful, eas$-to-use tools for computing, displa$ing, and saving the long-run covariance

)variance* matrix of a single series or all of the series in a group ob(ect. 'ou ma$ compute s$mmetric or

one-sided long-run covariances using nonparametric +ernel ) ewe$-%est /7, Andrews *, parametric

VA"0A! )1en 0aan and evin 7*, and prewhitened +ernel )Andrews and 2onahan 3* methods. 4n

addition, EViews supports Andrews ) * and ewe$-%est ) 5* automatic bandwidth selection methods

for +ernel estimators, and information criteria based lag length selection methods for VA"0A! and

prewhitening estimation.

6$ default, EViews will estimate the s$mmetric long-run covariance matrix using a non-parametric +ernel

estimator with a 6artlett +ernel and a real-valued bandwidth determined solel$ using the number of

observations. &he data will be centered )b$ subtracting off means* prior to computing the +ernel covariance

estimator, but no other pre-whitening will be performed. &he results will onl$ be displa$ed in the series or

group window. 'ou ma$ use the dialog to change these settings.

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Variance Ratio Testing

EViews 7 now has built-in variance ratio testing. &he variance ratio test view allows $ou to perform the o

and 2ac inla$ variance ratio test to determine whether differences in a series are uncorrelated, or follow a

random wal+ or martingale propert$.

EViews provides a range of testing options. 'ou ma$ perform the o and 2ac inla$ variance ratio test for

homos+edastic and heteros+edastic random wal+s, using the as$mptotic normal distribution ) o and

2ac inla$, //* or wild bootstrap ) im, 3889* to evaluate statistical significance. 4n addition, $ou ma$

compute the ran+, ran+-score, or sign-based forms of the test )%right, 3888*, with bootstrap evaluation of

significance. 4n addition, EViews offers %ald and multiple comparison variance ratio tests )"ichardson and

#mith, !how and 1enning, ;*, so $ou ma$ perform (oint tests of the variance ratio restriction for

several intervals.

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Cointegration Tests

&o supplement the existing hillips and ?uliaris ) 8* residual-based tests, 0ansen@s ) 3b* instabilit$ test, and >ar+@s

) 3* added variables test.

&he residual based tests ma$ be computed as a View of a =roup ob(ect, or as a diagnostic view for an

equation estimated using one of the cointegrating regression techniques.

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