EViews Guide for Introductory Econometrics for Finance by Brooks Chris

Author:Brooks, Chris [Brooks, Chris]
Language: eng
Format: epub
Publisher: Cambridge University Press
Published: 2019-03-27T16:00:00+00:00

Figure 51: Estimation Results from GMM Estimation for the Inflation and Returns Equations

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Vector Autoregressive (VAR) Models

Reading: Brooks (2019, Section 7.10)

By way of illustration, a VAR is estimated in order to examine whether there are lead–lag relationships for the returns to three exchange rates against the US dollar – the Euro, the British pound and the Japanese yen. The data are daily and run from 14 December 1998 to 7 March 2018, giving a total of 7,142 observations. The data are contained in the Excel file ‘currencies.xls’. First Create a new workfile , called ‘currencies.wf1’, and import the three currency series. Construct a set of continuously compounded percentage returns called ‘reur’, ‘rgbp’ and ‘rjpy’. VAR estimation in EViews can be accomplished by clicking on the Quick menu and then Estimate VAR. . . . The specification window in Figure 52 appears.

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