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- 1. 1. Time Series Modelling using Eviews2. Macroeconomic Modelling using Eviews3. Macroeconometrics using Eviews By: Muhammad Anees Saturday, October 27, 2012 Learn Econometrics, Applied Statistics, Stata, SPSS, Eviews, R and Matlab on http://elearning.aneconomist.com
- 2. Plan of the Session• Some Theoretical Aspects?• Modelling the Systems• Proceeding with Eviews (Eviews 7)
- 3. Macroeconomic Models
- 4. Examples
- 5. Flow of Modelling StrategyIt depicts the flow of identifying a model for the system
- 6. Our Todays StrategyIdentify a simple Model and Estimate the Model usingEviews 7 using the given data for PakistanSecond Session Will continue from here and will developa more technical model The Eviews Model Variable Data s Steps
- 7. Macroeconomic Model of PakistanEconomy: The real Sector• The sample Modelling of Pakistan’s real economy will develop the relationship between GDP, E , I, GVA, (X-M: BOP or Trade Balance)?• The model we will elaborate and estimate is GDP = E + I + GVA+(X – M)?• Known issues? o The relation between the macroeconomic variable poses some technical, Econometric challenges to estimate. And read some literature on what are these challenges if estimated using simple Regression or Vector Autoregressive Models/Cointegrated Relations?• These issues are for the next sessions, please wait!!!!
- 8. The data• We have extracted a sample dataset from the databank of World bank which is available from data.worldbank.org• The variables included are: o GDP: o E: o I: o GVA o X-M• The data is from variables (gdp ge inv gva imp exp)• We take log of each series so when the log difference is used, it will show growth rates of the series/variable
- 9. Econometric Techniques• OLS o Please read the first section of Growth Models reading which will explain each step we proceed to run the regression using OLS and related tests.• Unit Root o We will need these types of tests when we need to run a regression model using time series data o As we estimate the model (any other model can be used equally) using OLS, so the results will be SPURIOUS/not be consistent. o In this case, we need to estimate the stationarity of the series. If series are stationary, then we will be using OLS and may/may not include the trend/time variable o If the series are not stationary then we will test for whether each series is uniformly/same integrated. Which means they become stationary at the same level of differencing. o Detailed discussion on these and the following contents will be provided tomorrow. This is introduced here to convince you that we can not rely on the OLS estimates of our model using time series data.• Cointegration• VAR• VECM
- 10. Appendix• Estimating the Model using OLS• Testing for Issues in the estimated Models• Some Econometric tests which could be used to determine whether the model estimated is best fitted• Why we need to use alternative/Time Series regression Models? Read the Unit Roots, VAR and Cointegration Testing topics from the given reading material. We will improve our current model in second session.• Contact information: Please use only moodle@aneconomist.com for discussion regarding these contents. This email is specific to course related discussions.
- 11. Please read the notes below for details
- 12. Workfile Dialague to create workfile
- 13. New Workfile where data will be imported.
- 14. Import Wizard
- 15. Import Wizard: Data Specification
- 16. Dated Workfile with Complete dataset
- 17. Estimating the Macroeconomic Model we defined.
- 18. Regression Results
- 19. OLS Examples where it is Spurious
- 20. What Then if OLS is Spurious• If we use most of the Time Series data for running OLS, then results are spurious if the Data is Not Stationary/Unit Root. Now how to test Unit Roots. Let us what we can do using Eviews.
- 21. Unit Roots Testing
- 22. Unit Roots Testing
- 23. Unit Root Results
- 24. Unit Root test with First Difference
- 25. Unit Roots and Order of Integration• If we find that all the series are unit root or stationary then decide as following: o All Series are not Unit Root or say they are stationary in Levels, then these are called Integrated of Order Zero and termed as I(0) o All the series are Unit Root at Levels and Stationary at First Difference then The are Integrated of Order One or I(1) o All the series are unit root even at First Differences but Stationary at Second Differences then These are Integrated of Order Two or I(2). o And Hence On… o We proceed in the same lines and once the Integration is determined, then we can test whether they are Co-Integrated. This is for tomorrow along with Theory, Practice and Issues.
- 26. We have learn Step by Step
- 27. Outcome of Todays Session• We hope to know now:• Modelling any Macroeconomic Scenario• Estimate the using Basic regression and test for whether regression is Spurious• When Spurious how to proceed with further our model estimation.
- 28. • Thanks for your attendance.• Please email any confusion regarding initiating your modelling strategy.• Also please read the suggested contents so we are confident for tomorrow session.

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