EViews.com

Take a look at the Help built into EViews.

I don't know why you want to estimate them together rather than separately, but--as Gareth said--you can out the equations in a System object in EViews.

You should listen to Gareth. He always gives good advice.

Forget you have ever heard about a VAR. Perhaps just regress Y1 on X1 through X5; Y2 on X1 through X5. And so on.

Is it possible to get Newey-West standard errors in a SUR?

I suspect the difficulty is handling daily files.

Works. Now about the underlying bug in saving to an RData file...

The forum appears to not allow one to upload a file with extension .wf2.

In the workfile save dialog the Prompt on each Save text box shows up as checked even if it is unchecked in Global options.

Not at all.

You can't estimate an intercept for each region and then also separately estimate the effect of being in a metropolitan region. So yes, you probably want to delete the dummy.

I believe that EViews is telling you correctly that you can't have both the municipality dummy and cross-section fixed effects. Dummy variable trap.

Are the fixed effects perfectly correlated with the municipality dummy?