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"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 10!

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
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
  • Preparing The Model: Specific Data Issues
    • Types Of Data
    • The Access To Data
    • Preparing The Data For The Transfer
    • The Preliminary Processing Of Series
    • Updates
    • Suppressions
    • The Documentation
    • Consequences On Work Organization
    • The Practical Options
  • Back To Our Example
    • Application To Our Example
    • The EViews Program
    • A First Test: Checking The Residuals In The Identities
  • Using Loops And Groups In EViews
    • Groups
    • Loops
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
    • 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
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
    • 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

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