urtout

2023-10-18 · 阅读 905 · 点赞 2 · 留言 0  

This program urtout can perform different unit root tests in EViews for multiple series simultaneously, and summarize the testing results to a standard format suitable for inclusion in a scholarly publication. 

Version

Current version:       (11.2KB)

Test Environment

EViews 13.

Basic Syntax

exec urtout(options) series_name1|(para1) series_name2|(para2) …

Default Outputs

The program performs the ADF, DFGLS, PP, KPSS, ERS and NP tests using the command uroot for the given series based on the automatically selected lag parameters or bandwidths, reports the corresponding values of test statistics, and shows whether the null hypotheses are rejected at 1%, 5% or 10% significance level.

Options

• out=obj_name — Specify the name of output table object (default=urtoutput, or urtoutput1, or urtoutput2, …).
• tests=arg — Specify which tests are used：permutations or combination of “a”, “d”, “p”, “k”, “e” or “n” (corresponding the six tests mentioned above). For example, “tests=pka” means performing the PP, KPSS and ADF tests in sequence. Note that all the tests are performed based on the automatically selected lag parameters or bandwidths.
• adf=arg — Use the ADF test based on specified lag orders: two integers such as “13”. The first integer is the minimum lag order, and the sum of the two integers is the maximum lag order. Thus, “13” means performing ADF test from lag order=1 to lag order=4.
• tfmt=integer — Specify the format of output table (from 1 to 2; default=1). The default format may be better looking in EViews. The other format may be more suitable if you plan to copy the table to other editing environments such as Microsoft Word.
• “x”_lagmehod=arg — “x” can be specified as “a”, “d”, “p”, “k”, “e” or “n”, corresponding the option lagmehod for the ADF, DFGLS, PP, KPSS, ERS or NP tests. Please refer to the manual for the use of uroot.
• “x”_hac=arg — “x” can be specified as “p”, “k”, “e” or “n”, corresponding the option hac for the PP, KPSS, ERS or NP tests. Please refer to the manual for the use of uroot.
• “x”_bw=arg — “x” can be specified as “p”, “k”, “e” or “n”, corresponding the option bw for the PP, KPSS, ERS or NP tests. Please refer to the manual for the use of uroot.
• case — Report the cases of the tests：”c”, “t” or “n”, corresponding the three cases of unit root tests in EViews: “Intercept”, “Trend and intercept” or “None”。
• tp — Transpose the output table。When case is used, the option tp does not work.
• cn — Report the results or display error messages in Chinese.

Parameters Behind Series Names

The parameter behind a series name can be specified as “1”, “2”, “t”, “t1”, “t2”, “n”, “n1” or “n2”. If the letter “t” or “n” is used, the program will perform unit root tests based on the case “Trend and intercept” or “None”. Otherwise, the case “Intercept” will be adopted. If the integer “1” or “2” is used, the program will employ the first difference or second difference of the series to perform tests. Otherwise, the original series is used. If there is no parameter behind a series, the series will be employed to perform unit root tests based on the case “Intercept”.

Examples

Open the workfile “demo.wf1” stored in the EViews installation directory (“.\Example Files\EV13 Manual Data\Chapter 02 – A Demonstration”). We use urtout by the following codes:

series lgdp = log(gdp)
series lm1 = log(m1)
exec urtout(out=myout,tp) LGDP|t lgdp|1 lm1|t LM1|1 rs rs|1

These codes perform six unit root tests. The output table is transposed since the option tp is used. The resulting table is shown below:

The following is another example:

exec urtout(out=myout,tests=ap,adf=02,a_lagmethod=aic,case,tp) LGDP|t lgdp|1 rs RS|1

The codes let the option adf be “02”. As a result, the ADF tests from lag order=1 to lag order=4 are performed. The option tests is specified as “ap”. Thus, the ADF and PP tests are performed based on the automatically selected lag parameters or bandwidths. Note that a_lagmethod is equal to “aic”. Therefore, the automatically selected lag order for the ADF is based on AIC, rather than the default specification SIC. Below is the output table:

Update History

• [October 21, 2022] Version 1.0.0.
• [October 18, 2023] Version 1.0.1. Updates: (a) some bugs are fixed; (b) tp is set to be ineffective when case is used.

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eqout

2023-10-18 · 阅读 1165 · 点赞 5 · 留言 0  

This program eqout provides a fast and easy way to summarize the estimation results of different models that are established by the equation object in EViews. It thus facilitates the convertion of equation-based estimates to a standard format suitable for inclusion in a scholarly publication.

Current eqout summarizes single-equation-based models well. Other models based on more than one equation such as the GARCH model cannot be well supported at present.

There was an Add-in (EqTabs) created in 2010, which has similar functions. However, eqout has more features. For example, based on eqout, you can generate different types of output tables; you can customize the equation names and variable names displayed in the output table; you can specify a table title for your estimation results.

Version

Current version: 1.0.2       (16.2KB)

Test Environment

EViews 13.

Basic Syntax

exec eqout(options) obj_name1 obj_name2 …

Default Outputs

Default outputs are organized in a table, which includes the names of all equation objects behind eqout, the names of dependent and independent variables in the models, the coefficient estimates, the corresponding standard errors, the numbers of observations, the adjusted R-squared values (if exist), and the F/Wald F/LR/QLR statistics for testing joint significance (if exist). All estimates related the coefficient label “C” are placed at the bottom. If there is a coefficient label “SIGMASQ”, the associated estimates will be placed below “C”. Let’s have a quick look:

Options

• out=obj_name — Specify the name of output table object (default=eqoutput, or eqoutput1, or eqoutput2, …).
• tfmt=Integer — Specify the format of output table (from 1 to 6; default=1). The default format (or tfmt=2) may be better looking in EViews. The other four formats may be more suitable if you plan to copy the table to other editing environments such as Microsoft Word.
• vip=arg — Specify the types of values in parentheses under the reported coefficients: “se” (standard errors, default); “t” (t- or z- statistics for testing significance); “pv” (p-values).
• r2=arg — Report R-squared or pseudo R-squared values: “rp” (substitue for the adjuested R-sqaured values in the output table); “add” (add the R-squared values to the output table).
• cfmt=fmt — Specify the numeric format of reported coefficients (default=f=6.6). It will be passed to the string function @str for its fmt argument. If you want to change the default, please refer to the manual for the use of @str.
• vipfmt=fmt — Specify the numeric format of reported values in parentheses (default=f.3). It will be passed to the string function @str for its fmt argument.
• noy — Do not display the dependent variable in the output table.
• na=arg — Deal with NAs: “rm” (remove all NAs); “dash” (replace all NAs by “-“).
• title=string — Specify the title of the output table.
• lower — Change the names of all variables from UPPERCASE (default) to lowercase.
• aic — Report Akaike information criterions.
• sic — Report Schwarz information criterions.
• hqic — Report Hannan-Quinn information criterions.
• cn — Report the results or display error messages in Chinese.
• pcp=cutoff value — Report the percentage of correct prediction for binary choice models based on the specified cutoff value. Note that the value should belong to (0,1). If there is no binary choice model in the summarized models, the option will not work.

Replacing Names

eqout provides an easy way to change the reported equation or variable names. We can place the vertical bar “|” behind a name, and then place the new name behind “|”. To distinguish the equation names from the variable names. “@” needs to be placed between the two types of names. For example,

exec eqout obj_name1|new_obj_name1 … @ var_name1|new_var_name1 …

Examples

Open the workfile “binary.wf1” stored in the EViews installation directory (“.\Example Files\EV13 Manual Data\Chapter 31 – Discrete and Limited Dependent Variable Models”). We estimate four models and then use eqout:

'Classical regression model:    
equation eq1.ls grade c gpa     
'Regression model with robust standard errors:
equation eq2.ls(cov=white) grade c gpa psi
'Probit model:
equation eq3.binary grade c gpa tuce
'Logit model:
equation eq4.binary(d=l,cov=white) grade c gpa tuce psi
exec eqout eq1 eq2 eq3 eq4 

These codes can generate the table displayed above. Now, we make some changes:

exec eqout(out=myout,sic,tfmt=2,na=rm,r2=add,noy) eq1|Reg1 eq2|Reg2 eq3|Probit eq4|Logit @ grade|Grade gpa|Gpa
show myout
'The codes above will generate a table titled "myout" to
'store the estimation results. Besides the default outputs,
'the table also contains the SIC and R-squared values. The
'table format is selected to be 2, which corresponds to a
'more compact table. All NAs in the table has been removed.
'The four equation names are replaced by "Reg1", "Reg2", 
'"Probit", and "Logit" respectively. The variable name "GRADE"
'is replaced by "Grade" (since the option "noy" is used,
'"Grade" is not displayed here) and "GPA" is replaced by "Gpa".

The resulting new table is shown below:

Update History

• [April 3, 2022] Version 1.0.0.
• [October 17, 2022] Version 1.0.1. Updates: (a) the default for the option vip is changed to be “se” from “t” due to the argument in the Bruce Hansen’s econometrics textbook；(b) a new option pcp is added.
• [October 18, 2023] Version 1.0.2. Updates: (a) a new option noy is added; (b) summarizing ordered dependent variable models is supported; (c) some bugs are fixed.

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Introduction

2022-04-01 · 阅读 1194 · 点赞 3 · 留言 0  

Here are some EViews programs that I write. You can freely use and redistribute them. If you find any bugs or have some suggestions, please feel free to let me know.

In EViews, a program can be called by the run or exec commands. I recommend the latter since if you execute your codes in the batch mode, the run command will end all program execution when processing of the named file is completed. In contrast, once exec processing completes, the calling program will continue to run.

If you plan to use exec to call the programs provided here, it is necessary to put the related program files to the Add-ins directory. You can find the directory from the EViews’ menu:

The bottom portion of the opened Add-ins dialog shows the current default Add-ins directory. You can also change it by clicking on the button on the right.

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