Principal Component Regression

[mwu888]

Hi EviewGareth:

Can Eviews perform principal component regression? I don't see this as an option in the drop down when creating an Equation object.

[EViews Glenn]

Not in one step. You can, however, use the principal components tools off of a group of regressors to create components which you then use in a regression.

[mwu888]

EviewGlenn:

Do you have any examples or illustrations that can be shared with me? I just want to make sure what I am doing is correct--to be on the safe side.

[EViews Glenn]

Unfortunately, I don't.

There are, however, examples in the manual for generating principal components from a group of series. That's really all you need. Once you have that, the rest is regression...

I'm sure you can find an example on the web and replicate it using EViews...

[mwu888]

EviewsGlenn:

What is the command line for copying the eigenvectors from the Principal Component Analysis table into a matrix as a column vector? Thank you.

[EViews Gareth]

You probably want to use the makepcomp proc from a group. It is listed in the Group section of the Object Reference.