Strongly suggest to include more panel data methods

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Strongly suggest to include more panel data methods

Postby Alfred123 » Wed Sep 08, 2021 6:20 am

Hi developers,

I'm a fan of the EViews, and I'm mainly focusing on macro-econometrics (usually time series analysis) and forecasting.

Recently, I want to use panel models to do the forecasting. I find there are already many advances in panel data econometrics in recent years. However, the EViews doesn't include them timely. For example, I want to use the CCE estimator (Pesaran, 2015), I have to call the R package "plm" through the EViews since I still want to use the Model function in the EViews. However, it's not easy to transfer the estimation results from the R to the EViews. Of course, I know that the EViews12 had already included some 2nd generation panel cointegration tests, such as CIPS (Pesaran, 2007). However, it's not enough.

There're three reasons to include more new panel data methods and tests in the new edition:

First, more and more macro-econometric analyses, include financial econometrics, involving panel data set, not just pure time-series data.

Second, it's well known that the EViews is rather good at dealing with data set with a large time dimension relative to other econometrics software, such as the Stata. Hence, panel data set with an especially large time dimension should also be an advantage of the EViews.

Third, I do hope the EViews can keep on the cutting edge of the econometrics emphasizes the time-dimension. I think it will benefit EViews in the future, thus makes the EViews more competitive relative to other econometric and statistical software.

At last, since there are so many new panel estimators and tests that I can't list them all. I do recommend strongly the textbook written by professor M H. Pesaran (2015): Time Series and Panel Data Econometrics, Oxford, Oxford University Press, October 2015. ISBN: 978-0-19-873691-2; Published in paperback ISBN: 978-0-19-8759980.

I really hope that the main methods and tests included in chapters 28 to 33 can also be included in the EViews13.

Hope my dream will come true as soon as possible!

Best regards.

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