Indicator Saturation and Variable Selection with PC-Gets

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tim_r
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Indicator Saturation and Variable Selection with PC-Gets

Postby tim_r » Tue Jan 12, 2021 8:32 pm

Hi

Is it possible to use both indicator saturation and PC-Gets to do variable selection for an equation in EViews 12? I seem to be only able to do each of them separately.

Thanks
Tim

EViews Gareth
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Re: Indicator Saturation and Variable Selection with PC-Gets

Postby EViews Gareth » Tue Jan 12, 2021 9:10 pm

Currently, no.
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tim_r
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Joined: Tue Jan 12, 2021 8:29 pm

Re: Indicator Saturation and Variable Selection with PC-Gets

Postby tim_r » Wed Jan 13, 2021 3:20 pm

Hi Gareth

Thanks. If I generate the dummies manually and then put them into the list of variables that can be searched over by the PC-Gets algorithm would that be equivalent?

TIm

EViews Gareth
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Re: Indicator Saturation and Variable Selection with PC-Gets

Postby EViews Gareth » Wed Jan 13, 2021 3:44 pm

Yep. If doing multiple indicator types (or if you have dummies already), you have to worry about singularities.
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