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.