ridge add-in

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enricodace
Posts: 5
Joined: Sat Jun 09, 2018 1:41 am

ridge add-in

Postby enricodace » Sun Jun 10, 2018 7:53 am

Hi Gareth,
I have successfully done a rolling general method of moment(gmm) estimation. I have observed that there is a multicollinearity in my data. I would like to go for a ridge regression. I have downloaded the add_in and follow the steps below.
-) Click 'new object' and go through to have a 'ridge regression' but what i have got is almost empty. Please see below the pics. i labled 1,2,3 to show the steps.

May i have something a guide, to do this regression type since i couldn't find it on the documentations or user guide?

Thank you.
enrico
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EViews Gareth
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Posts: 11848
Joined: Tue Sep 16, 2008 5:38 pm

Re: ridge add-in

Postby EViews Gareth » Sun Jun 10, 2018 5:18 pm

The Ridge add-in doesn't support rolling.
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enricodace
Posts: 5
Joined: Sat Jun 09, 2018 1:41 am

Re: ridge add-in

Postby enricodace » Sun Jun 10, 2018 10:36 pm

Even without a rolling, it is not working.
With codes, does the ridge works?
One more to ask is, Does the principal component analysis works for rolling?
If not, under rolling basis what do you recomment inorder to deal with a multicollinearity?


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