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 updated for EViews 13!

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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