Page 1 of 1

DOLS

Posted: Fri Aug 01, 2014 3:29 pm
by 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.

Re: DOLS

Posted: Sat Aug 02, 2014 6:47 am
by 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.

Re: DOLS

Posted: Sat Aug 02, 2014 2:28 pm
by 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.

Re: DOLS

Posted: Sun Aug 03, 2014 7:17 am
by 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?