EViews 12 image

"But we shall not stop at proving the usefulness of these models. For the people we have convinced, or which were so already, we will provide a set of tools facilitating all the tasks in the modelling process. Starting from elementary elements, it will lead by stages the user to a level at which he should be able to build, manage and use his professional, operational model."

       --Structural Econometric Modelling

Structural econometric modelling: Methodology and tools with applications under EViews

EViews features a powerful economic modeling engine that allows ananlysis and forecasting of the relationships between sets of variables.

Structural econometric modelling: Methodology and tools with applications under EViews, by Jean-Louis Brillet, describes how to use the model object in EViews to solve structural economic models. Not only does the book provide step by step examples of using EViews for modelling, it also provides a easy to follow descriptions of economic modelling theory and its applications.

This book is now updated for EViews 12!

Jean Louis Brillet has spent his entire career at the French National Institute for Statistics and Economic Studies. Starting as a computer specialist in econometric modeling, he moved naturally to the Modelling Department, as head of the forecasting unit, then to the International Department, implementing models in various countries.

In recent years, Jean-Louis has formalized his experience in structural modeling into a coherent strategy, both global and detailed, for the production of operational models using the EViews software.

For those interested in exploring the material contained in the book further, Jean Louis offers a class on modelling in EViews. Click here for more details.

You may download the full version of his book in PDF form here:
Structural Modelling Under EViews (PDF, 5MB / right-click to save)

A version in French is also available

Jean Louis has also provided a set of companion files containing examples of models and programs. These files are contained in zipped form here:
Example files (PDF, 3MB / right-click to save)

A description of the files may be found here:
List of files (PDF, 400KB / right-click to save)


Book Contents

Chapter 1 Notations And Definitions
 
  • The Model As A Set Of Equations
  • The Elements In A Model
    • Variables: Endogenous And Exogenous
    • Equations: Behavioral And Identities
    • Parameters
    • The Random Term
    • Residuals Versus Errors
    • Formulations
    • The Time Dimension
    • Linearity
    • Other Properties
    • Constraints The Model Must Meet
    • Normalization And Identification
    • Conclusion
Chapter 2 Model Applications
 
  • Operational Diagnoses
    • Different Types Of Diagnoses: Scenarios And Shocks
    • Advantages Of Models
    • A Certain Reassessing
  • Theoretical Models
  • Quantified Small Models
    • With Scientific Purpose
    • With An Educational Purpose
Chapter 3 Model Types
 
  • The Field
  • The Size
    • Determinants Of The Size
    • A Classification
  • The Horizon
    • For Forecasting
    • For Model Analysis
    • A Classification
  • The Periodicity
  • Other Models
Chapter 4 General Elements
 
  • The Stages In The Process
    • Preparing The Model
    • Estimation
    • Solving And Testing Over The Past
    • Solving And Testing Over The Future
    • Using The Model For Forecasts And Policy Studies
  • How To Organize The Development Of The Model
Chapter 5 Preparing The Model
 
  • Preparing The Model: The Framework
    • Print View
  • Preparing The Model: Specific Data Issues
    • Types Of Data
    • The Access To Data
    • The Mode Of Transmission
    • Preparing The Data For The Transfer
    • The Preliminary Processing Of Series
    • Updates
    • Suppressions
    • The Documentation
    • Consequences On Work Organization
    • The Practical Options
  • Accessing International Data Bases
    • The World Bank
    • The Original Series
    • Creating A Single Country Workfile
    • Working On Several (Or All) Countries
    • The Alternate Sources
    • Back To Our Example
    • Using Loops And Groups In EViews
    • Comparing Workfiles: The WFCOMPARE Command
Chapter 6 The Estimation Of Equations
 
  • The Process Of Estimation
  • Specifc Issues
    • The R2 or R-Squared
    • The Constant Term
  • Applications: Our Model
    • Changes In Inventories
    • Investment: The Necessity To Establish A Consistent Theoretical Equation Prior To Estimation
    • Employment: Stationarity, Error Correction Models, Breakpoint Test
    • Exports: Autoregressive Process, Cointegration, Long Term Stability
    • Imports: Going Further On Cointegration And Long Term Stability
    • Back To The Residual Check
    • The Present Model
Chapter 7 Testing The Model Through Simulations Over The Past
 
  • The Solution
    • Gauss-Seidel
    • Ritz-Jordan
    • Newton And Its Variants
    • Broydon's Method
    • Iterations And Test Of Convergence
    • Study Of The Convergence
    • Solving The Model: Basic EViews Techniques
  • A First Validation
    • Ex-Post Simulations
    • Ex-Post Forecasts
    • Solving The Model: Scenarios
    • Overriding Through Menus
    • Our Example
    • Analytic Shocks
    • Our Example
Chapter 8 Testing The Model Over The Future
 
  • Making The Model Converge In The Long Run
    • The Assumptions
    • Adapting The Fomulations
    • Improving The Change (And Speed) Of Convergence
    • Solving Partial Models
    • Checking The Existence Of A Long Term Solution
  • Convergence Problems In The Short Run
  • Convergence Problems In The Medium Run
  • Testing The Results
    • Of Simulations
    • Of Shocks
  • EViews Features
    • Producing Simulations
    • Producing A Base Solution
    • Producing Shocks
    • Changing Model Specifications
    • Updaing The Model Specifications
    • Model Protection
  • Some Recent Useful Features To Better Manage Simulations
    • The Graph Of Dependencies
    • Interpreting The List Of Variables
    • The "Print" Display
    • Equation Search
  • Rational Expectations
    • The Framework
    • Consequences For Model Simulations
    • Technical Elements
    • Our Example
    • The Test
    • The Results
  • Stochastic Simulations
    • Purely Statistical Errors
    • Formulation And Assumption Errors
    • Considering The Errors
    • The Interest Of The Technique
    • Back To Our Example
    • The Results
  • Going Further: Studying Model Properties
    • Eigenvalue Analysis
    • The Case Of Error Correction Models: A Simple Example
Chapter 9 Using Models
 
  • Operational Diagnoses
    • Scenarios And Their Different Types
    • Managing Actual Forecasts: Managing The Residuals
    • Managing Actual Forecasts: The Targeting Of Simulations
    • Different Types Of Shocks
    • The Forecast: Technical Aspects
    • Changing Model Specifications
    • Optimal Control
  • Teaching With Models
  • Presentation Of Results
    • General Issues
    • Tables
    • Graphs
Chapter 10 Applying The Above Principles To Operational Cases
 
  • The Accounting Framework
    • The Agents: A First Definition
    • The Operations
    • The Integrated Economic Accounts
    • Sectors, Branches and Products
    • Agents Subdivisions
    • A Multi Country Model
  • A Single Country, Single Product Model
    • The Economic Aspects
    • The EViews Programs
  • A Single Country, Multi Product Model
    • The Main Reasons For Product Decomposition
    • Introducing Intermediate Consumption
    • Specifc Sectoral Issues
    • The Data
    • Consequences For Estimations
    • The Production Function
    • Unemployment
    • Changes In Inventories
    • Household Consumption
    • External Trade
    • Wages
    • Prices
  • A Multi Country, Single Product Model
    • First Issue: The Models
    • Second Issue: Inter-Country Trade
    • A Consistent Method: MacSim
    • The EViews Program
  • A Regional Model
  • A Multi Country, Multi Product Model
    • The EViews Program
Chapter 11 Quasi Accounting Models
 
  • The Originality Of The Approach
    • The Product Detail
    • The Operations Detail
  • The Level Of Simplification
  • The Good Points
  • Two Examples
    • Working With Both Types
Chapter 12 Stock-Flow Consistent Models
 
  • The General Approach
  • The Accounting Framework
    • The Agents
    • The Operations
  • A Proposal
    • The Framework For The New Production Block
    • The Financial Block
    • The ADditional Changes Linked To The Financial Account
  • Evolvoing Towards A Full Macroeconomic Model
    • A Full Proposal
    • The Causalities
    • The Causalities (Keys)
    • Expliciting The Behaviours
  • The Simulations
  • The Shocks
  • Conclusions On Model Properties
Insert Switching The Exogenous/Endogenous Status Of Model Variables
 
  • The Context For Switching The Status, From A Programming Point Of View
    • Introduction
    • The Problem
    • The Linear Case
    • The Non-Linear Case
    • A Few Questionings
    • General Conclusion
    • A Test On A Very Small Model
    • A Test On A Larger Model
  • The New EViews Commands: Control and Fliptype
    • The Two Approaches
    • The Differences In The Approach
    • Multivariate Control
    • Respecification Of Endogenous And Exogenous Variables
Chapter 13 A List Of Useful Series For Producing A Single Country, Single Product Model
 
  • The Periodicity
  • General Elements
  • The Series
    • The Supply-Demand Variables At Constant Prices (Whole Economy)
    • The Same Elements At Current Prices
    • The Same Elements Decomposed Into Products
  • Productivity Capacity
  • Employment
  • Price Deflators
  • Households Account
  • Firms Account (All Types Of Firms)
  • Rest Of The World
  • Government Account (Elements Not Described Earlier)
  • Financial Domain
Chapter 14 A List Of Useful Series For A Model With Several Sectors
 
  • The Periodicity
  • General Elements
  • The Series
    • The Supply - Demand Variables At Constant Prices (Whole Economy)
    • The Same Elements At Current Prices
  • Productive Capacity
  • Employment
  • Price Deflators
  • Households Account
  • Firms Account (All Types Of Firms)
  • Rest Of The World
  • Government Account (Elements Not Described Earlier)
  • Financial Domain
Chapter 15 Recent Additions To Session Management
 
  • Snapshots
  • Cloud Management
    • Google Drive
Chapter 16 Using EViews Menus To Build And Manage An Econometric Model
 
  • General Menu Features
    • Command Capture
    • Window Management And Docking
    • Snapshots
    • Logging
  • A Very Small Model
  • The Data
  • Creating The Workfile
    • Programming
  • Reading The Data
    • Programming
  • Creating The Page
    • Programming
  • Linking The Data
    • Programming
  • Displaying The Data
  • Creating The Model
    • Programming
  • Checking The Model
  • Estimating Consumption
    • A Very Simple Formula
    • Improving The Formula
  • Solving The Model
    • Programming
  • A Shock
    • Programming
  • Forecasting
    • Creating A Page
    • The Assumptions
    • Basic Simulation
    • A Shock
  • A Full Program
    • A Residual In The Estimated Equation
    • A Residual Check
    • Computing Basefuture Values For The Endogenous
    • A Baseline Solution Using A Scenario
    • Producing A Shock From Scenario
    • Computing Differences Using A Loop
    • The Program
Chapter 17 Index
 

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