DOLS

[President]

Hi,

I do not know how to choose lead and lag in DOLS using EViews. I want to perform it by using SIC. Can anyone suggest technique for this test? Thank you in advance.

[EViews Glenn]

cointreg has automatic lag selection using SIC for DOLS.

Note as we discuss in the manual, this may not be an ideal approach.

[President]

Thank you for your answer.

when I use automatic lag and lead selection by SIC, Eviews produce the same extend for all series. I know that in practice they should be different. What should I do? Than you in advance.

[EViews Glenn]

How do you know this? What is the max lag you are choosing and when you do your comparison to EViews are you restricting the evaluation sample accounting for the highest order lag?