User’s Guide : Basic Single Equation Analysis : Additional Regression Tools
  
Additional Regression Tools
This section describes additional tools that may be used to augment the techniques described in “Basic Regression Analysis”.
This first portion describes special EViews expressions that may be used in specifying and estimating models with Polynomial Distributed Lags (PDLs) or dummy variables.
In the second section, we describe methods for heteroskedasticity consistent, heteroskedasticity and autocorrelation consistent, and cluster robust covariance estimation.
Next, we describe weighted least squares and nonlinear least squares estimation.
Lastly, we document tools for performing variable selection using stepwise regression.
Note that parts of this discussion refer to estimation of models which have autoregressive (AR) and moving average (MA) error terms. These concepts are discussed in greater depth in “Time Series Regression”.