Economic and Financial Modelling with Eviews: A Guide for Students and Professionals

ISBN-13: 9783030065621 / Angielski / Miękka / 2018 / 284 str.

Abdulkader Aljandali; Motasam Tatahi

Spis treści

I Introduction  

2 Importing Data Into Eviews

2.1 Reading IBM SPSS date variables

2.2 Saving and opening an EViews datafile

3 Regression Models          

3.1 Eviews regression

3.2 Saving the regression equation

3.3 Editing and saving regression graphics

4 Univariate Time Series: Linear Models          

4.1 Stationarity and Autocorrelations

4.2 ARIMA modelling in EViews

4.3. Testing for stationarity

4.4 Applying the ARIMA modelling process to the STOCK variable

5 Stationarity and Unit Root Tests          

5.1 Unit root tests

5.2 Stationarity tests

5.3 Examples

6 Univariate Time Series: Volatility Models

6.1 The ARCH class of models

6.2 Generating rates of change

6.3 Testing for ARCH effects

6.4 Forecasting from an ARCH model

6.5 Problems with ARCH models in practice

7 Other Volatility Models

7.1 GARCH models

7.2 GARCH model estimation

7.3 EGARCH model

7.4 PARCH Model

7.5 TARCH Model

8 Multivariate Time Series Analysis

8.1 VAR model

8.2 ADL model

8.3 Other Cointegration models

O autorze

Abdulkader Aljandali is Senior Lecturer at Coventry University in London. He is currently leading the Stochastic Finance Module taught as part of the Global Financial Trading MSc. His previously published work includes Exchange Rate Volatility in Emerging Economies, Quantitative Analysis and IBM® SPSS® Statistics, and Multivariate Methods and Forecasting with IBM® SPSS® Statistics. Dr. Aljandali is an established member of the British Accounting and Finance Association and the Higher Education Academy.

Motasam Tatahi, PhD, is a specialist in the areas of Macroeconomics, Financial Economics and Financial Econometrics at the European Business School, Regent’s University London, where he serves as Principal Lecturer and Dissertation Coordinator for the MSc in Global Banking and Finance at The European Business School-London. He has covered such modules as econometrics for PhD students, advanced macroeconomics at SOAS, and international trade at UCL-University of London. He is author of Privatisation Performance in Major European Countries since 1980 (Palgrave Macmillan) and articles in several international economics journals.

Blurb

This practical guide in Eviews is aimed at practitioners and students in business, economics, econometrics, and finance. It uses a step-by-step approach to equip readers with a toolkit that enables them to make the most of this widely used econometric analysis software. Statistical and econometric concepts are explained visually with examples, problems, and solutions.

Developed by economists, the Eviews statistical software package is used most commonly for time series-oriented econometric analysis. It allows users to quickly develop statistical relations from data and then use those relations to forecast future values of the data. The package provides convenient ways to enter or upload data series, create new series from existing ones, display and print series, carry out statistical analyses of relationships among series, and manipulate results and output. This highly hands-on resource includes more than 200 illustrative graphs and tables and tutorials throughout. 

Abdulkader Aljandali is Senior Lecturer at Coventry University in London. He is currently leading the Stochastic Finance Module taught as part of the Global Financial Trading MSc. His previously published work includes Exchange Rate Volatility in Emerging Economies, Quantitative Analysis and IBM® SPSS® Statistics, and Multivariate Methods and Forecasting with IBM® SPSS® Statistics. Dr. Aljandali is an established member of the British Accounting and Finance Association and the Higher Education Academy.

Motasam Tatahi is a specialist in the areas of Macroeconomics, Financial Economics, and Financial Econometrics at the European Business School, Regent’s University London, where he serves as Principal Lecturer and Dissertation Coordinator for the MSc in Global Banking and Finance.