Here are my two cents

For making suggestions and/or requests for new features you'd like added to EViews.

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trubador
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Joined: Thu Nov 20, 2008 12:04 pm

Here are my two cents

Postby trubador » Fri Apr 04, 2014 6:02 am

1 ) State Space object needs a revamp. Better initialization of states (esp. for variances) is needed. BFGS algorithm can be implemented. Adding simulation properties may also be considered during the revision process.
2 ) VAR/VEC object needs to be overhauled to include historical decomposition, counterfactual simulation and impulse responses (esp. for BVAR and SVAR). More general handling of covariance matrix and/or cointegrating restrictions is needed. BVAR models can be extended and enriched as much as possible. Adding VARMAX models and maximum likelihood algorithm can also be considered.
3 ) Functionality of System ARCH needs to be extended by adding forecasting feature. List of available built-in methods can also be populated by implementing commonly used methods like Full BEKK, DCC, etc.
4 ) Multivariate random number generators are needed.
5 ) Built-in statistical distribution functions can be populated by adding new continuous and discrete distributions. Multivariate and/or skewed density functions can be considered in that respect.
6 ) Empirical distribution tests can be extended.
7 ) Implementation of Markov Switching VAR models should never loose its place in the to-do list :)
8 ) Would be nice to have some MCMC tools (e.g. M-H, Gibbs).
9 ) Expectation-Maximization algorithm would also be very useful.
10 ) EViews should really consider the implementation of some basic DSGE models to begin with.

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