Stepwise Least Squares Regression - dummy variables

[tvonbrasch]

Hi

Im wondering how I can use the stepls command to identify significant impulse dummies. using the @expand(@date, @dropfirst) function leads to singularity. Have you any ideas on how to proceed?

Also, there is another method called impulse dummy saturation (see e.g., Castle, J. and Doornik, J.A. and Hendry, D.F. (2012). Model Selection when there are Multiple Breaks. Journal of Econometrics 169, 239–246.). It would be really nice if this could be included in a future version of Eviews.

Thomas