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Non-linear least squares regression

Posted: Mon Apr 23, 2018 12:11 am
by agamonim
Hi!! I need help on running a non-linear least squares regression. The equation I have is as follows:

Log Y= α+β1 X1*X2+ β2 X3+⋯+ βn Xn+εi
where,
X1=(1-exp⁡(-r×Ti ))*(1/r)

As you can see that one of the independent variables (i.e. X1) is non linear. Besides, it has been interacted with another independent variable (i.e. X2) in this equation. I need to find out the value of parameter "r" here, while the other variables are known to me. Can you please tell me how to run this regression on EViews 6 or on EViews 10 student version?

Re: Non-linear least squares regression

Posted: Mon Apr 23, 2018 7:30 am
by EViews Gareth

Re: Non-linear least squares regression

Posted: Sat May 19, 2018 12:12 am
by agamonim
Hi!! I did not find my answer in the link because it is specific.
I am typing the equation in the EViews 6 as follows:

Log Y c F*(1-exp⁡(-r×Ti ))/r X2 X3 X4

The parameter "r" is unknown to me and the non-linear regression result should indicate me what is the value of "r". When I run this regression, I get a notification "R is not defined". How do I define "r"? I know the range of "r" (i.e. between 0.05 to 0.10) but I do not know the exact value that r should take. How do I execute this regression? Can you please help me in this?

Re: Non-linear least squares regression

Posted: Sat May 19, 2018 7:21 am
by startz
Since your equation is nonlinear in parameters you need to write it out in equation form, as shown in the documentation.

The easiest way to indicate that a parameter needs to be estimated is to call it c(1) or c(2), etc. That's how EViews knows it is a parameter rather than a data series.

Re: Non-linear least squares regression

Posted: Mon May 21, 2018 4:06 am
by agamonim
Thank you!! I have tried it! It works. But again there is a problem of heteroscedasticity because of which I need to use WLS. I want to use inverse of variance of residuals as weights. However, I am little confused as to how to do it. Can you help me in this? I am using version 6 of E Views.