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IHS 发布最新的计量经济学软件 EViews 9.5
2016-03-16  广州博脉
EViews 9.5 增加了许多功能,包括 Mixed-Data Sampling (MIDAS) 等方面。
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MIDAS
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Mixed-Data Sampling (MIDAS) is a method of estimating and forecasting from models where the dependent variable is recorded at a lower frequency than one or more of the independent variables. Traditional approaches to dealing with the issue of mixed frequencies is to simply aggregate the higher frequency data into the lowest frequency. A significant disadvantage to this approach is that through the aggregation you discard data which can lead to less accurate estimation.
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EViews workfiles natively support easy organization of mixed frequency data, and allow easy conversion from one frequency to another. EViews’ MIDAS implementation makes use of this easy handling of mixed frequencies to allow easy specification of MIDAS models.
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EViews allows 4 different MIDAS weighting schemes:
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Step weights
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Almon/PDL weights
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Exponential Almon weights
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Beta weights (with or without restrictions)
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EViews also offers automatic lag selection methods for determining the number of lags/periods of the higher frequency variables.
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We have a complete step-by-step demonstration of MIDAS using a paper by the Federal Reserve Bank of St Louis..
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DIEBOLD-MARIANO TEST
The Forecast Evaluation Series View has been extended with the addition of the Diebold-Mariano test as part of the output whenever two forecasts are being evaluated.
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The Diebold-Mariano test allows for statistical comparison of the accuracy of two competing forecasts of the same data.
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FIML WITH VARIANCE RESTRICTIONS
The system FIML estimator now has an option specifying the form of the residual covariance matrix used in estimation. You may choose between:
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unrestricted
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diagonal
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user-specified
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If you choose the user-specified, you must also provide the name of a Sym object containing values for all of the residual variances and covariances.
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Following estimation, EViews offers you the ability to examine the covariance matrix used in estimation.
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MODEL INTERFACE ENHANCEMENTS
5 new enhancements to the Model object’s interface:
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Print View – Produces a text representation of the Model, similar to the existing Text View. However the Print View allows you to display equations in broken form without having to break the link to the underlying equation object, and allows you to specify output features such as display decimal places and whether to use variable display names or not.
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Scenario Descriptions – The Scenario Dialog has an additional page that lets you enter a text description for each scenario. You may also choose to export that description to any series created during a solve of the Model under that scenario.
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Scenario View – Displays a table containing each Scenario, their alias, overrides, excludes, and description.
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Lock Protection – The proc menu has a new item allowing password protection of the model. Once protected, the Text View of a model is disabled, the Equation and Variable Views are un-editable, existing scenarios cannot be modified or deleted, and other minor features are disabled.
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Equation Finding – The Equation View has a new Find button. The Find lets you search for equation by name, endogenous variable or exogenous variable. Once found, EViews will select the equation for you.
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GROUP MEMBERS VIEW
This view displays a list of all the names of the series currently in the group.
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You may change the group by dragging and dropping series objects from the workfile to the Group Members window. Also, rearranging members may be accomplished by dragging and dropping members in the desired position. Changes that you make to the group are finalized immediately. You may sort the members by number or by name by clicking on the headers (# or Name) of the list window.
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Additionally, you may change the group by right-clicking on the window and then make a selection in the popup dialog. Select Edit Member, to edit the contents of this window to add, remove, or rearrange the series in a group.
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GROUP OBJECT PREVIEW
Object preview allows the user to quickly look through a number of objects. In the case of group preview, instead of opening the object and going through its different views (graph, spreadsheet, group members), you may use the preview to quickly view metadata (name, type, description, etc.) and object type-specific information (for example, members list and a graph of 5 series members).
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This replaces previous group preview where the user could see only the group members with no graph.
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The group preview lists all the members of a group under the Group Members, but displays only the line graphs of 5 group members at a time. The members that are displayed have the colored line symbol before their name. If you click on a group member within the list, that will change the selection. The object that you click will be the first of the 5 objects you will be previewing.
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PROGRAMMING SUPPORT
Two new commands added to EViews Programming Language:
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saveprgini: This allows the saving a program variable to an ini file.
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Loadprgini: This allows the retrieving of a program variable stored in a ini file.
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