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Principal Component Regression
Posted: Tue Dec 06, 2011 8:09 pm
by mwu888
Hi EviewGareth:
Can Eviews perform principal component regression? I don't see this as an option in the drop down when creating an Equation object.
Re: Principal Component Regression
Posted: Wed Dec 07, 2011 11:06 am
by EViews Glenn
Not in one step. You can, however, use the principal components tools off of a group of regressors to create components which you then use in a regression.
Re: Principal Component Regression
Posted: Thu Dec 08, 2011 12:19 pm
by mwu888
EviewGlenn:
Do you have any examples or illustrations that can be shared with me? I just want to make sure what I am doing is correct--to be on the safe side.
Re: Principal Component Regression
Posted: Thu Dec 08, 2011 2:24 pm
by EViews Glenn
Unfortunately, I don't.
There are, however, examples in the manual for generating principal components from a group of series. That's really all you need. Once you have that, the rest is regression...
I'm sure you can find an example on the web and replicate it using EViews...
Re: Principal Component Regression
Posted: Tue Dec 20, 2011 6:42 pm
by mwu888
EviewsGlenn:
What is the command line for copying the eigenvectors from the Principal Component Analysis table into a matrix as a column vector? Thank you.
Re: Principal Component Regression
Posted: Wed Dec 21, 2011 10:15 am
by EViews Gareth
You probably want to use the makepcomp proc from a group. It is listed in the Group section of the Object Reference.