Eviews Essay

24343 Words Oct 14th, 2015 98 Pages
Financial Econometrics
With Eviews
Roman Kozhan

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Roman Kozhan

Financial Econometrics

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Financial Econometrics – with EViews
© 2010 Roman Kozhan & Ventus Publishing ApS
ISBN 978-87-7681-427-4

To my wife Nataly

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Contents

Financial Econometrics

Contents

Preface

6

1
1.1
1.2
1.3
1.4

Introduction to EViews 6.0
Workfiles in EViews
Objects
Eviews Functions
Programming in Eviews

7
8
10
18
22

2
2.1
2.2
2.3

Regression Model
Introduction
Linear Regression Model
Nonlinear Regression

34
34
34
52

3
3.1
3.2
3.3

Univariate Time Series: Linear
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D

Preface

Financial Econometrics

Preface
The aim of this textbook is to provide a step-by-step guide to financial econometrics using EViews 6.0 statistical package. It contains brief overviews of econometric concepts, models and data analysis techniques followed by empirical examples of how they can be implemented in EViews.
This book is written as a compendium for undergraduate and graduate students in economics and finance. It also can serve as a guide for researchers and practitioners who desire to use EViews for analysing financial data. This book may be used as a textbook companion for graduate level courses in time series analysis, empirical finance and financial econometrics.
It is assumed that the reader has a basic background in probability theory and mathematical statistics
The material covered in the book includes concepts of linear regression, univariate and multivariate time series modelling and

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