areg

For making suggestions and/or requests for new features you'd like added to EViews.

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CharlieEVIEWS
Posts: 202
Joined: Tue Jul 17, 2012 9:47 am

areg

Postby CharlieEVIEWS » Tue Apr 05, 2016 7:09 pm

Can I suggest something similar to Stata's areg in EViews (or to increase the default size of C)? I keep bumping into the wall using @expand on a categorical with a large number of categories using the default coef vector and i really dont want to estimate an equation by expression with 1500 categories with a custom coeff vector.... the only real feasible solution I can think of is to COM out to matlab, which isn't ideal (maybe there's a better way however?)

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: areg

Postby EViews Gareth » Tue Apr 05, 2016 7:23 pm

What does areg do?

You don't need to estimate by expression to use a custom coef vector. You can estimate by list then change the name of the coefficient vector on the options tab.
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CharlieEVIEWS
Posts: 202
Joined: Tue Jul 17, 2012 9:47 am

Re: areg

Postby CharlieEVIEWS » Tue Apr 05, 2016 7:44 pm

Even when using @expand? I keep getting "Too many index series in @expand" even when using a custom set coef. In stata, areg 'absorbs' categorical variables with a large number of categories, producing estimates for explanatory variables but not category (dummy) coefficients.

EViews Gareth
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Re: areg

Postby EViews Gareth » Tue Apr 05, 2016 9:54 pm

Code: Select all

wfcreate u 10000

series i = @floor(rnd*2000)

series y=nrnd

coef(2100) beta

equation eq1.ls(coef=beta) y  @expand(i)


That has 2000 coefficients and works just fine.
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startz
Non-normality and collinearity are NOT problems!
Posts: 3120
Joined: Wed Sep 17, 2008 2:25 pm

Re: areg

Postby startz » Tue Apr 05, 2016 9:54 pm

Yeah. Sometimes you want fixed effects taken out but really don't have a panel structure.

CharlieEVIEWS
Posts: 202
Joined: Tue Jul 17, 2012 9:47 am

Re: areg

Postby CharlieEVIEWS » Wed Apr 06, 2016 6:08 am

Sorry -- was expanding a group which was already expanded. :oops:.

However, still cheering for an AREG option!

EViews Glenn
EViews Developer
Posts: 2530
Joined: Wed Oct 15, 2008 9:17 am

Re: areg

Postby EViews Glenn » Wed Apr 06, 2016 12:31 pm

Noted.

You can, of course, to define an undated panel using the categorical variable as the ID series. That will provide you with access to all of the tools of panels, including clustered standard errors.


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