EViews Training

Basic Estimation
Basic Regression Analysis
• EViews has a very powerful and easy-to-use estimation toolkit that
allows you to estimate from the simplest to the most complex
regression analysis.
• This tutorial explains basic regression techniques in EViews for single
equation regressions using cross-section data.
• The main topics include:
✓ Specifying and estimating an equation
✓ Equation Objects (saving, labeling, freezing, printing)
✓ Equation Output: Analyzing and Interpreting results
✓ Multiple Regression Analysis
✓ Estimation with Data Expressions and Functions
✓ Post Estimation: Working with Equations
✓ Hypothesis testing
✓ Estimation Options (robust standard errors, weighted least squares)

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 Equation Output:
Analyzing and Interpreting Results
Equation Output
• Let’s analyze the results from our simple estimation, which includes only one
explanatory variable (income) and an intercept.

• The Equation box has three main parts, which we will discuss in turn:
1. The top panel summarizes the input for the regression.
2. The middle panel summarizes information about regression coefficients.
3. The bottom panel provides summary statistics about the entire regression.

Top Panel

Middle Panel

Bottom Panel

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Equation Output (cont’d)
• The top panel provides information about regression inputs.

Element Description
Dependent Variable Denotes the dependent variables.

Method Denotes the method of estimation (least squares in this example).

Sample Shows the sample period over which the regression is carried out.

Included Shows the number of observations included in estimation.

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Equation Output (cont’d)
• The middle panel provides information about the estimated coefficients.

Element Description
Coefficient Values • Income coefficient measures the marginal contribution of income to
wealth.
• C is the estimated constant (or intercept) of the regression.
Standard Errors • Reports the standard errors of the coefficient estimates.
• The larger the standard errors, the more noisy the estimates.
t-Statistic • Reports the t-statistics, computed by dividing coefficient estimates
by their standard errors.
• Is used to test whether the coefficient in that row equals zero.
Prob. (p-value) • Reports probability of drawing a t-statistic as extreme as the one
actually estimated.
• Is used to test whether the coefficient is equal to zero (against a
two-sided alternative).
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Equation Output (cont’d)
• The bottom panel
provides information
regarding the summary
statistics for the entire
regression.

Statistic Description
R-squared Measures the success of the regression in predicting the values of
depended variable.
Adjusted R-squared Adjusts for the number of independent regressors by penalizing R-
squared for additional regressors.
S.E. of regression Is a summary measure based on estimated variance of the residuals.

Sum squared resid Reports the sum of squared residuals. The same as (S.E. of
regression)2 * (T-k-1), where T is the number of observations (9,275
here), k is the number of independent variables (k=1 here).
Log-likelihood Reports the log likelihood function evaluated at coefficient estimates
assuming normally distributed errors.
F-statistic Tests whether all slope coefficients (excluding the constant) are zero.
Prob(F-Static) Reports the probability of drawing an F-statistics as the one estimated. 7
Equation Output (cont’d)

Statistic Description
Mean dependent var Shows the mean of the dependent variable (in this case, wealth).
S.D. dependent var Shows the standard deviation of the dependent variable (i.e, wealth).
Akaike info criterion Used in model selection; smaller values are preferred.

Schwarz criterion An alternative to Akaike information (AIC) used also for model selection.
Imposes a larger penalty for including additional explanatory variables
Hannan-Quinn criter. An alternative to AIC and Schwarz criteria used for model selection. It
employs a slightly different penalty function than the other two.
Durbin-Watson stat Measures serial correlation in the residuals. As a rule of thumb, a DW
statistic less than 2 is an indication of positive serial correlation.

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Multiple Regression Analysis
Multiple Regression Analysis: Estimation
• It stands to reason that a better model to explain wealth would be one that includes
the age of the individuals as well as the family size, in addition to their income.

For this, augment the previous model

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Multiple Regression Analysis:
Interpreting Results
• Note how the estimation output now
includes the Coefficient, Standard
Error, t-Statistics and associated
probability value for each of the
regressors in the multiple regression.

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