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Least Squares Regression Using a System on a Group
Posted: Wed Feb 17, 2016 3:52 am
by kszynkar
Hi, perhaps a silly question, but how do I create a set (System I assume) of linear least square regressions on a group. CSer is a series, and CServGroup is a group. This line of code would get me an equation on on the series:
equation CServEqn.ls CSer CSer(-1)
What I'm trying to do is:
system CServSys.ls CServGroup CServGroup(-1)
So essentially a set of of the operation above. However, when I double-click the resulting system, I don't see anything in it. Is there a way to do this?
Thanks
Re: Least Squares Regression Using a System on a Group
Posted: Wed Feb 17, 2016 10:26 am
by EViews Glenn
Is the latter supposed to be estimating a VAR(1)?
Re: Least Squares Regression Using a System on a Group
Posted: Thu Feb 18, 2016 1:09 am
by kszynkar
Yes
Re: Least Squares Regression Using a System on a Group
Posted: Fri Feb 19, 2016 11:00 am
by EViews Glenn
Why not use the built in VAR tools?
Code: Select all
var var1.ls 1 1 CServEqn CServGroup
Re: Least Squares Regression Using a System on a Group
Posted: Mon Feb 22, 2016 9:43 am
by kszynkar
Apologies, I misunderstood VAR(1).
I'm not interested in capturing the cross terms in the regression (ie. getting a coefficient for the sensitivity of my first series in the group to the second), and the above was just to illustrate what I'm trying to do, but it won't only be an auto-regression, there will be other terms in the regression.
Re: Least Squares Regression Using a System on a Group
Posted: Mon Feb 22, 2016 10:08 am
by EViews Glenn
You'll have to add the specification for each of your equations explicitly (apart form the implied error)
Code: Select all
system a
a.add var1= c(1) + c(2)*var2 + c(3)*var1(-1)
a.add var2 = c(4) + c(5)*var1(-1) + c(6)*x
etc.
Then
There are some tools for creating common specifications to ease some of the editing burdens. See the documentation on the system object, and the makesystem command proc for a group.
Re: Least Squares Regression Using a System on a Group
Posted: Thu Mar 03, 2016 9:57 am
by kszynkar
Perfect. Thanks for the help.