Can Regularization regressions be implemented in Eviews?

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stasibab
Posts: 55
Joined: Sun May 08, 2011 2:20 pm

Can Regularization regressions be implemented in Eviews?

Postby stasibab » Tue May 17, 2011 3:58 pm

I am interesting for regressions where there are constraints regarding the betas.

They are thought to be known as regularization regressions and the most common are Lasso and Ridge Regressions

This means that they try to evaluate the minimum error of residuals as the regular regression but the beta are constrained.

For example in Ridge regression there is a constraint of: Σ(β^2)<=S , S>0
In lasso regressions there is a constraint of : Σ(|βi|)<=S, S>0

Thank you in advance!

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

Re: Can Regularization regressions be implemented in Eviews?

Postby EViews Gareth » Tue May 17, 2011 4:59 pm



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