EVIEWS is the best software to solve time series model, especially problem dealing with stationarity of data or unit root testing, regression model, residual management, restricted and unrestricted VAR, structural VAR, ARCH, GARCH, E-GARCH model.
It is user friendly and easy to execute. You just to go HELP of this software and you will find all the steps necessary to execute the software. HELP also explains statistical issue regarding the model.
2 comments:
Hello Dr. Hossain,
Thanks for the good website. I have some qns on time series econometrics. I would greatly appreciate if you could guide me.
1. When testing for unit roots in eviews, if some of the series show trend coefficient (significant) and some only show significant intercept, would it effect my cointegration tests?
2. For cointegration test what should I put the specification as?
3. How do I decide on the number of lags of for cointegration?
4. When I run the VECM model and if I have more than one cointegrating vector, how would I know which one to choose? When I specify the number of cointegrating vectors in eviews (for VECM), it gives me results for the number of cointegrating vectors specified. I am confused as to which one to choose? Can I just leave the number of cointegrating vectors as 1? Would it effect my results for speed of adjustment?
Hello Rachna, I have reproduced a VECM model in my personal website with data and VECM result, The link of the page is as below:
http://www.sayedhossain.com/econometrics_statistical_structural_model.html
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