1-1
Chapter 2
Econometric packages for
modelling financial data
1-2
常用的经济计量软件
? EViews (Econometric Views)
? RATS (Regression Analysis of Time Series)
? SAS (Statistical Analysis System)
? SPSS (Statistical Package for Social Science)
? TSP (Time Series Processor)
? GAUSS
? LIMDEP
? MATLAB
? SHAZAM
1-3
EViews
? 目前最流行的计量经济学软件。
? 主要功能
– 数据处理
– 绘图
– 统计分析
– 建模分析
– 预测
– 模拟
? 菜单驱动，操作简便、易学
? 广泛应用于经济、金融、保险、管理、商务等领域。
1-4
? RATS (Regression Analysis of Time Series)
software package is a leading
econometrics/time-series analysis software
package used worldwide by economists and others
for analyzing time series and cross sectional
data,developing and estimating econometric
models,forecasting,and much more.
? RATS is a fast,efficient,and comprehensive
time series analysis and econometrics software
package,RATS makes simple tasks easy to
accomplish,while its command-driven interface
and extensive programmability also make it a
very flexible and powerful tool for more
complex applications.
RATS Econometrics Software
1-5
SPSS
? SPSS has become a leader in predictive analytics
technologies through a combination of commitment
to innovation and dedication to customers,
Throughout our history,we have produced predictive
analytics software that enables our customers —
corporations,academic institutions,healthcare
providers,and government agencies — to better focus
their operations.
? Predictive analytics connect data to effective action
by drawing reliable conclusions about current
conditions and future events.
1-6The GAUSS Mathematical and
Statistical System
? The GAUSS Mathematical and Statistical System is a
fast matrix programming language widely used by
scientists,engineers,statisticians,biometricians,
econometricians,and financial analysts,
? Designed for computationally intensive tasks,the
GAUSS system is ideally suited for the researcher who
does not have the time required to develop programs
in C or FORTRAN but finds that most statistical or
mathematical "packages" are not flexible or powerful
enough to perform complicated analysis or to work on
large problems,
? Whatever mathematical tool or language you are now
using,you'll find that GAUSS can greatly increase
your productivity!
1-7
? LIMDEP is an integrated program that is unsurpassed
in the breadth and variety of its estimation tools for
estimation and analysis of linear and nonlinear models
with cross section,time series and panel data,LIMDEP
Version 8.0 is a major expansion of our premier
software for estimation of regression models and
nonlinear models for limited dependent variables,
survival data(生存数据 ),qualitative choices,count
data,stochastic frontiers（ 边界 ） and samples subject
to nonrandom selection,Over 100 different models are
supported,including an unparalleled list of
formulations for panel data,No other software is as
up to date,fast,accurate,and easy to use.
LIMDEP
1-8
MATLAB
? MATLAB is an intuitive language and a technical
computing environment,It provides core mathematics and
advanced graphical tools for data analysis,
visualization,and algorithm and application
development,With more than 600 mathematical,
statistical,and engineering functions,engineers and
scientists rely on the MATLAB environment for their
technical computing needs,
? Introduced in 1984,MATLAB? is a technical computing
and application development environment used today by
more than 500,000 engineers and scientists and by more
than 2,000 financial companies worldwide,Financial
professionals rely on MATLAB to accelerate their
research,shorten analysis and development time,and
reduce project costs.
1-9
SHAZAM
? SHAZAM is a computer package for econometric and
statistical computing,SHAZAM offers a comprehensive set
of econometric methods for model estimation and testing,
The current version is Version 9.
? SHAZAM has thousands of users in more than 85 countries,
It is used in undergraduate and graduate teaching as well as
for research published in academic journals,SHAZAM is
also used by government and industry,
? SHAZAM is a command language system,The user
prepares a SHAZAM program in a command file,
SHAZAM processes the command file and produces an
output file of results,
1-10
一些相关的参考书
? 张晓峒主编,,计量经济学软件 EViews使用指南,,
南开大学出版社 2003年 7月出版；
? 易丹辉主编,,数据分析与 EViews应用,,中国统
计出版社 2002年 10月出版；
? 朱世武著,,基于 SAS系统的金融计算,,清华大学
出版社 2004年 5月；
? 金浩编著,,经济统计分析与 SAS应用,,经济科学
出版社,2002年 9月出版；
? 王吉利 等,,SAS软件与应用统计,,中国统计出
版社,2000年 9月出版。
Chapter 2
Econometric packages for
modelling financial data
1-2
常用的经济计量软件
? EViews (Econometric Views)
? RATS (Regression Analysis of Time Series)
? SAS (Statistical Analysis System)
? SPSS (Statistical Package for Social Science)
? TSP (Time Series Processor)
? GAUSS
? LIMDEP
? MATLAB
? SHAZAM
1-3
EViews
? 目前最流行的计量经济学软件。
? 主要功能
– 数据处理
– 绘图
– 统计分析
– 建模分析
– 预测
– 模拟
? 菜单驱动，操作简便、易学
? 广泛应用于经济、金融、保险、管理、商务等领域。
1-4
? RATS (Regression Analysis of Time Series)
software package is a leading
econometrics/time-series analysis software
package used worldwide by economists and others
for analyzing time series and cross sectional
data,developing and estimating econometric
models,forecasting,and much more.
? RATS is a fast,efficient,and comprehensive
time series analysis and econometrics software
package,RATS makes simple tasks easy to
accomplish,while its command-driven interface
and extensive programmability also make it a
very flexible and powerful tool for more
complex applications.
RATS Econometrics Software
1-5
SPSS
? SPSS has become a leader in predictive analytics
technologies through a combination of commitment
to innovation and dedication to customers,
Throughout our history,we have produced predictive
analytics software that enables our customers —
corporations,academic institutions,healthcare
providers,and government agencies — to better focus
their operations.
? Predictive analytics connect data to effective action
by drawing reliable conclusions about current
conditions and future events.
1-6The GAUSS Mathematical and
Statistical System
? The GAUSS Mathematical and Statistical System is a
fast matrix programming language widely used by
scientists,engineers,statisticians,biometricians,
econometricians,and financial analysts,
? Designed for computationally intensive tasks,the
GAUSS system is ideally suited for the researcher who
does not have the time required to develop programs
in C or FORTRAN but finds that most statistical or
mathematical "packages" are not flexible or powerful
enough to perform complicated analysis or to work on
large problems,
? Whatever mathematical tool or language you are now
using,you'll find that GAUSS can greatly increase
your productivity!
1-7
? LIMDEP is an integrated program that is unsurpassed
in the breadth and variety of its estimation tools for
estimation and analysis of linear and nonlinear models
with cross section,time series and panel data,LIMDEP
Version 8.0 is a major expansion of our premier
software for estimation of regression models and
nonlinear models for limited dependent variables,
survival data(生存数据 ),qualitative choices,count
data,stochastic frontiers（ 边界 ） and samples subject
to nonrandom selection,Over 100 different models are
supported,including an unparalleled list of
formulations for panel data,No other software is as
up to date,fast,accurate,and easy to use.
LIMDEP
1-8
MATLAB
? MATLAB is an intuitive language and a technical
computing environment,It provides core mathematics and
advanced graphical tools for data analysis,
visualization,and algorithm and application
development,With more than 600 mathematical,
statistical,and engineering functions,engineers and
scientists rely on the MATLAB environment for their
technical computing needs,
? Introduced in 1984,MATLAB? is a technical computing
and application development environment used today by
more than 500,000 engineers and scientists and by more
than 2,000 financial companies worldwide,Financial
professionals rely on MATLAB to accelerate their
research,shorten analysis and development time,and
reduce project costs.
1-9
SHAZAM
? SHAZAM is a computer package for econometric and
statistical computing,SHAZAM offers a comprehensive set
of econometric methods for model estimation and testing,
The current version is Version 9.
? SHAZAM has thousands of users in more than 85 countries,
It is used in undergraduate and graduate teaching as well as
for research published in academic journals,SHAZAM is
also used by government and industry,
? SHAZAM is a command language system,The user
prepares a SHAZAM program in a command file,
SHAZAM processes the command file and produces an
output file of results,
1-10
一些相关的参考书
? 张晓峒主编,,计量经济学软件 EViews使用指南,,
南开大学出版社 2003年 7月出版；
? 易丹辉主编,,数据分析与 EViews应用,,中国统
计出版社 2002年 10月出版；
? 朱世武著,,基于 SAS系统的金融计算,,清华大学
出版社 2004年 5月；
? 金浩编著,,经济统计分析与 SAS应用,,经济科学
出版社,2002年 9月出版；
? 王吉利 等,,SAS软件与应用统计,,中国统计出
版社,2000年 9月出版。
