TAILIEUCHUNG - EVIEWS tutorial Cointegration and error correction

Cointegration and error correction Professor Roy Batchelor City University Business School, London & ESCP, Paris EVIEWS r On the City University system, EVIEWS is in Start/ Programs/ Departmental Software/CUBS r Analysing stationarity in a single variable using VIEW r Analysing cointegration among a group of variables r Estimating an ECM model r Estimating a VAR-ECM model | _ illT ol nus ess Schoal EVIEWS tutorial Cointegration and error correction Hili WinEi s IO Professor Roy Batchelor City University Business School London ESCP Paris EVIEWS Tutorial 1 Roy Batchelor 2000 EVIEWS On the City University system EVIEWS is in Start Programs Departmental Software CUBS Analysing stationarity in a single variable using VIEW Analysing cointegration among a group of variables Estimating an ECM model Estimating a VAR-ECM model EVIEWS Tutorial 2 Roy Batchelor 2000 11 The FT500M workfile EVIEWS Tutorial 3 Roy Batchelor 2000 j I Data transformation Generate a series for the natural log of the FT500 index lft500 J 3Ỉ1EĨ3P3 Test for stationarity in - the level of this series - the first difference of this series dlft500 Results show that lft500 is an I 1 variable pa 11 Tdn KSooi EVIEWS Tutorial 4 Roy Batchelor 2000 22 Generate ln FT500 EVIEWS Tutorial 5 Roy Batchelor 2000 Augmented Dickey-Fuller ADF Test EVIEWS Tutorial 6 Roy Batchelor 2000 .

• Quản trị kinh doanh
• EVIEWS tutorial
• Cointegration
• error correction
• Data transformation
• Augmented Dickey Fuller
• ADF test results