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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?

If the returns are r1, r2 ,r3...etc. and you want equal weighted portfolios then in a month in which the first stocks are 7,3, 9 etc I guess you could do

series portfolio1return = r7+r3+r9 (etc.)

Not sure how you would automate it.

From the help file... Syntax sort(options) arg1 [arg2 arg3…] List the name of the series or groups by which you wish to sort the workfile. If you list two or more series, sort uses the values of the second series to resolve ties from the first series, and values of the third series to resolve ties f...

When saving .RData files EViews properly capitalizes RData. But the Save As... drop down menu has a lower case r.

Since Markov switching is maximum likelihood, you want to pick the estimate with the highest log-likelihood.

In most VARs, a shock only has a contemporaneous effect in its own equation. So unless you've done something special, you're getting the expected result.

Note that if you have a small number of fixed effects, you can sometimes change the workfile to unstructured and use @expand to include fixed effects. That way you get access to more diagnostics.