EViews Features
System of Equations

Basic

• Linear and nonlinear estimation.
• Least squares, 2SLS, equation weighted estimation, Seemingly Unrelated Regression, Three-Stage Least Squares.
• GMM with White and HAC weighting matrices.
• AR estimation using nonlinear least squares on a transformed specification.
• Full Information Maximum Likelihood (FIML).

VAR/VEC

• Estimate structural factorizations in VARs by imposing short- or long-run restrictions.
• Impulse response functions in various tabular and graphical formats with standard errors calculated analytically or by Monte Carlo methods.
• Impulse response shocks computed from Cholesky factorization, one-unit or one-standard deviation residuals (ignoring correlations), generalized impulses, structural factorization, or a user-specified vector/matrix form.
• Impose and test linear restrictions on the cointegrating relations and/or adjustment coefficients in VEC models.
• View or generator cointegrating relations from estimated VEC models.
• Extensive diagnostics including: Granger causality tests, joint lag exclusion tests, lag length criteria evaluation, correlograms, autocorrelation, normality and heteroskedasticity testing, cointegration testing, other multivariate diagnostics.

Multivariate ARCH

• Conditional Constant Correlation (p,q), Diagonal VECH (p,q), Diagonal BEKK (p,q), with asymmetric terms.
• Extensive parameterization choice for the Diagonal VECH's coefficient matrix.
• Exogenous variables allowed in the mean and variance equations; nonlinear and AR terms allowed in the mean equations.
• Bollerslev-Wooldridge robust standard errors.
• Normal or Student's t multivariate error distribution.
• A choice of analytic or (fast or slow) numeric derivatives. (Analytics derivatives not available for some complex models.)
• Generate covariance, variance, or correlation in various tabular and graphical formats from estimated ARCH models.

State Space

• Kalman filter algorithm for estimating user-specified single- and multiequation structural models.
• Exogenous variables in the state equation and fully parameterized variance specifications.
• Generate one-step ahead, filtered, or smoothed signals, states, and errors.
• In- and out-of-sample forecasting, using n-step ahead or smoothed values.
• Examples include time-varying parameter, multivariate ARMA, and quasilikelihood stochastic volatility models.

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