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Fitting Distributions
Posted: Mon Sep 28, 2015 9:13 am
by proberts
Given a series of data, is there a simple way to fit a probability distribution in eviews? The descriptive statistics provide data on normality etc but is eviews able to indicate which distribution might best fit a series? In my case, I have a series with a large N that is close to normal but skewed and peaked. Thanks in advance.
Re: Fitting Distributions
Posted: Mon Sep 28, 2015 9:44 am
by startz
Re: Fitting Distributions
Posted: Mon Sep 28, 2015 9:51 am
by proberts
It appears that this command only creates the standard histogram for the series otherwise I have to specify the distribution. Does eviews provide any suggestions for the probability distribution that is the best fit?
Re: Fitting Distributions
Posted: Mon Sep 28, 2015 9:52 am
by startz
I don't think so.
Re: Fitting Distributions
Posted: Tue Sep 29, 2015 8:52 am
by startz
Come to think of it, there is one more thing you might do. You can use View/Descriptive Statistics and tests/Empirical Distribution Tests to see if one of the available distributions is a good fit.
Re: Fitting Distributions
Posted: Tue Sep 29, 2015 5:37 pm
by NicolasR
Or you can estimate the parameters of a distribution by ML and compare the information criteria with other estimations, in case that you do not find the distribution you want in the option that startz suggests.
Code: Select all
wfcreate u 1 1000
genr z=nrnd*2+5
logl normal
normal.append @logl logl1
normal.append res=z-c(1)
normal.append var=c(2)
normal.append logl1=@log((1/(var*@sqrt(2*@acos(-1))))*@exp((-1/2)*(res/var)^2))
normal.append @temp res var logl1
normal.append @param c(1) 1 c(2) 1 c(3) 1
normal.ml