Hi all,
Have got three variables that are highly correlated which I'll like to summarise as an index using the first Principal Component(PC) in the PCA. However, I don't know how to extract data of the first PC.
Please could someone help?
--- On Mon, 11/1/10, Eloy A. Fisher Hogan <eloyfisher@hotmail.com> wrote:
From: Eloy A. Fisher Hogan <eloyfisher@hotmail.com>
Subject: Re: [Gretl-users] Recursive processes:
To: gretl-users@lists.wfu.edu
Date: Monday, November 1, 2010, 3:20 AM
Thanks Allin!
EF
> Date: Sun, 31 Oct 2010 22:05:05 -0400
> From: cottrell@wfu.edu
> To: gretl-users@lists.wfu.edu
> Subject: Re: [Gretl-users] Recursive processes:
>
> On Sun, 31 Oct 2010, Eloy A. Fisher Hogan wrote:
>
> > Hello everyone, I trying to migrate from Eviews to GRETL so
> > perhaps this is noob question - how can we state recursive
> > processes in GRETL?
>
> > I generate the nulldata 200 and create a random et using
> > randgen, I try to use the ARMA functionality but it doesn't
> > recognize the 0.8 coefficient, when I try to estimate yt I run
> > into problems. In E-views the code is:
> >
> > smpl @first @last
> > series e=nrnd
> > smpl @first @first
> > series y = 0
> > smpl @first+1 @last
> > series y = .8*y(-1)+e
>
> It's very similar
in gretl:
>
> nulldata 200
> series e = normal()
> series y = 0
> y = .8*y(-1) + e
>
> Alternatively, there's the filter() function.
>
> Allin Cottrell
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