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How to do nonparametric regression in Eviews 9?
Posted: Tue Apr 28, 2015 12:50 pm
by timbod2003
If I want to do nonparametric regression in Eviews, say Local Constant Least Squares or Local Linear Least Squares, with different types of kernels and bandwidth selection, how would I go about doing this? I have searched through the Eviews guide and cannot find anything regarding this.
Re: How to do nonparametric regression in Eviews 9?
Posted: Tue Apr 28, 2015 12:56 pm
by EViews Gareth
EViews doesn't really offer nonparametric regression, other than for drawing fit lines on scatter plots.
Re: How to do nonparametric regression in Eviews 9?
Posted: Tue Apr 28, 2015 1:00 pm
by timbod2003
Ok thanks. Is this something that is in consideration for future releases?
Re: How to do nonparametric regression in Eviews 9?
Posted: Wed Apr 29, 2015 8:48 am
by timbod2003
Gareth,
When we fit the line to a scatter plot, is there anyway via coding or commands to store the value of the line or equation 13.6 (from Eveiws 9 guide) and/or calculate derivatives at specific points?
Re: How to do nonparametric regression in Eviews 9?
Posted: Wed Apr 29, 2015 8:58 am
by EViews Gareth
Nope.
Re: How to do nonparametric regression in Eviews 9?
Posted: Wed Apr 29, 2015 9:04 am
by timbod2003
ok thanks
Re: How to do nonparametric regression in Eviews 9?
Posted: Wed Apr 29, 2015 4:45 pm
by EViews Glenn
Not quite true. You can save the fitted points from the nonparametric fit using Proc/Make Distribution Plot Data... from the group object menu, and use these data to calculate things like derivatives as desired. For the command form, look at the group proc distdata.
Re: How to do nonparametric regression in Eviews 9?
Posted: Wed Apr 29, 2015 5:22 pm
by EViews Gareth
Good point