67775812._2 - Basic software for an economist Microsoft...

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Basic software for an economist Microsoft Excel XP Eviews 3.1 Matlab 5.3 S Basic notes By Konstantinos Fragiadakis UADPhilEcon
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Preface There are many programs that a researcher can use for analysis and computation. In these notes we will be based on three programs: Microsoft Excel, which is a general very useful program to manage or manipulate data, Eviews, which is an econometric program, and Matlab, which is a program for mathematic applications. This is the first part of a series of notes on Econometrics offered as a useful supplement for the students practicing in UADPhilEcon courses on Quantitative Methods. In no way they can substitute instructors’ lecture notes, suggested bibliography and handouts, while the full responsibility of the content along with any errors or misspecifications in the solutions and answers of the following sections belongs to the author. Acknowledgements At this point I need to thank all of my professors and colleagues that kindly offered their assistance during the elaboration of these notes. First of all I would like to thank Dr. Andreas Xenakis, Dr. Spyros Zarkos and Dr. Yiannis Billias for allowing the reproduction of parts of their lecture notes and exercises, and Prof. Dimitris Moschos for his comments on theoretical issues related to the solutions. Moreover, I need to thank the Director of the UADPhilEcon Programme Prof. Yanis Varoufakis both for his comment and encouragement, and my colleagues Fotini Thomaidou and Mona Papadakou for their support during the editing phase. Finally, I would like thank in advance all the UADPhilEcon students for the their comments and feedback on the content. Konstantinos Fragiadakis UADPhilEcon 2 nd Year Student kfragiad@econ.uoa.gr 1
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Contents Preface . ....................................................................................................... 1 Contents . ..................................................................................................... 2 Lecture 1: Input Data . ................................................................................ 3 Lecture 2: An introduction to Matlab. ...................................................... 13 Lecture 3: Exercise on Linear Regression. ............................................... 18 Lecture 4: Assignment in Econometrics 1st Module 2004 . ...................... 33 Lecture 5: Exercises on Heteroskedasticity and Autocorrelation. ........... 49 Lecture 6: Exercise on Integration and Cointegration . ........................... 64 2
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Lecture 1: Input Data The user must know how to transfer data for one program to another. At first, we will discuss how we transfer data from a text file into Excel or Matlab and then, how we transfer data from Excel to Eviews. 1.1 Text files A text file is a file that one can save numbers and words only in basic format. This has the advantage of using lower memory to save a set of data. One can recognise a text file from the characteristic extension “.txt”. In order to create a text file we use the notepad of Windows. Below it is presented a text file “data.txt”. The first row indicates the name of the variables and on each variable corresponds a set of observations (Picture 1). Picture 1: Text file “data.txt” In this example, it is presented a file that contains data for five stocks during the period 1/10/2003 to 31/12/2003, listed in the Athens Stock Exchange.
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This note was uploaded on 05/06/2011 for the course STATISTICS 101 taught by Professor Jack during the Spring '11 term at Karadeniz Technical University.

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67775812._2 - Basic software for an economist Microsoft...

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