Interpreting Principal Component Regression

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awinterscheidt
Posts: 1
Joined: Tue May 12, 2020 4:22 pm

Interpreting Principal Component Regression

Postby awinterscheidt » Tue May 12, 2020 4:27 pm

I'm looking to resolve multicollinearity by using PCA. So far, I've managed to create the principal components I need, but I'm trying to find a way in views to combine these into interpretable coefficients in a regression on my dependent variable. Ideally, I'd like to use the components to create new coefficients on the original explanatory variables, but I'm not sure how to go about doing this in Eviews. Is this possible and if so, how can I go about it?

startz
Non-normality and collinearity are NOT problems!
Posts: 3798
Joined: Wed Sep 17, 2008 2:25 pm

Re: Interpreting Principal Component Regression

Postby startz » Tue May 12, 2020 4:39 pm

When you say "resolve multicollinearity," what problem are you trying to solve? What exactly is your goal?


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