(This article was originally published at Econometrics Beat: Dave Giles' Blog, and syndicated at StatsBlogs.)
When you get a chance to check out the "beta" release of EViews 9 (which current users can download from here), you'll find lots of new features.
Many of these relate to the Eviews interface, data handling, and graphs and tables. And then (of course) there are lots of new Econometrics goodies! To summarize them, under the headings used in the documentation:
Computation
• Automatic ARIMA forecasting of a series
• Forecast evaluation and combination testing
• Forecast averaging
• VAR Forecasting
Estimation
• Autoregressive Distributed Lag regression (ARDL) with automatic lag selection
• ML and GLS ARMA estimation
• ARFIMA models
• Pooled mean group estimation of panel data ARDL models
• Threshold regression
• New optimization engine
Testing and Diagnostics
• Unit root tests with a structural break
• Cross-section Dependence Tests
• Panel Effects Tests
I just had to highlight ARDL models. My earlier posts on these models (here and here) attracted a lot of readers, and many questions and comments.
I've been promising a follow-up post on this topic for some time. You can guess why I've been holding off, and what one of my upcoming posts will be about!
Please comment on the article here: Econometrics Beat: Dave Giles' Blog
