how to decompose forecast results of binary regression

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

capuchin
Posts: 36
Joined: Tue Oct 15, 2019 9:06 am

how to decompose forecast results of binary regression

Postby capuchin » Fri Sep 20, 2024 7:52 am

I am running some binary regressions and would like to plot the results by factor. This is to say, I want to create a chart showing that x% of the projected change is due to factor A and y% of the chance is due to factor B, as it is quite interesting in my case to be able to say what exactly is driving the changes in modelled chance.

I am running into the problem that the Representations tab of the estimated equation has the @CNORM function, which does not appear to follow the distributive property (i.e., X*(A+B) = X*A + X*B). Taking @CNORM of each regressor individually using the model's coefficients gives a much different shape than the results of the model's equation.

However, removing @CNORM from the equation gives a fairly similar shape as the results of the binary model, though these results sometimes dip much lower when the binary model's output is close to 0%. Is there a way to decompose a binary model's output or reasonably transform the @CNORM-free results? It seems like I could potentially impose a transformation causing the maximum to equal 1 and impose a rule that values below a certain level equal 0, but I would ideally like to avoid =if rules.

EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: how to decompose forecast results of binary regression

Postby EViews Glenn » Fri Sep 20, 2024 9:42 am

Hi. To be honest, I'm not certain that I understand the proposed exercise, in particular, what you mean by the "projected change" and what distributive property you want your results to follow.


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests