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EViews 4.1 Tutorial
by Manfred W. Keil
to Accompany
Introduction to Econometrics
by James H. Stock and Mark W. Watson
1. EVIEWS: INTRODUCTION
This tutorial will introduce you to a statistical and econometric software package called EViews, or
Econometric Views. EViews runs on both the Windows (9x, Me, NT 4.0 or 2000) and Macintosh
platforms. It is produced by Quantitative Micro Software (QMS) in Irvine, California. You can read
about various product information at the firm’s Web site, www.eviews.com. The program comes
with two manuals, a User’s Guide and a Command and Programming Reference. Both manuals can
be ordered separately ($40 each, $75 for the pair) by calling (949) 856-3368 or writing to
sales@eviews.com. The User’s Guide is better for first-time users. There is also a cheaper student
version (EViews 3.1 Student Version for Windows 9x, 2000, NT 4.0, $39.95) and EViews Basics
available. The difference between the student version and the full version is in the limitation on the
size of data sets (“capacity limitation” is 1,000 observations for each series and no more than 10,000
observations for all series) and the availability of some estimation methods such as ARCH
(discussed in Chapter 14), GMM, SURE, FIML, 3SLS, FIML and TSLS system estimators (don’t
worry what these estimation methods stand for at this point), as well as some of the estimators
discussed in the appendix to Chapter 9. Furthermore, and perhaps most importantly for you right
now, the student version does not allow you to run EViews in “batch mode.” This tutorial will
explain the difference between interactive use and batch mode below. Once you have gone through
the first series of commands in interactive, you will almost certainly run programs in batch mode.1
Econometrics deals with three types of data: cross-sectional data, time series data, and
panel data, or longitudinal data (see Chapter 1 of the textbook). In a time series you observe the
behavior of a single entity over multiple time periods. This