Auto-Series and Lags

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Daniel Bachman
Posts: 3
Joined: Tue Nov 10, 2009 6:08 am

Auto-Series and Lags

Postby Daniel Bachman » Tue Nov 10, 2009 6:30 am

I'm having trouble with what seems to be a simple problem. I don't understand how auto-series work with multiple lags when defining an equation. The following command:

EQUATION EXPORTS.LS DLOG(XR) DLOG(GDPROWR(-1)) C

works. But if I try to use multiple lags:

EQUATION EXPORTS.LS DLOG(XR) DLOG(GDPROW(-1 TO -8)) C

I get an error message

-1 to -8 is not a valid index for GDPROWR

I can't find any examples of specifications of multiple lags with auto-series in the documentation, although I certainly could have missed something. I'm very familiar with other time series programs, but new to Eviews.

trubador
Did you use forum search?
Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: Auto-Series and Lags

Postby trubador » Tue Nov 10, 2009 6:53 am

Transform the series first and then specify the lag length:

Code: Select all

genr dlgdprowr = dlog(gdprowr)
equation exports.ls dlog(xr) dlgdprowr(-1to-8) c

Daniel Bachman
Posts: 3
Joined: Tue Nov 10, 2009 6:08 am

Re: Auto-Series and Lags

Postby Daniel Bachman » Tue Nov 10, 2009 12:55 pm

Thanks. I will do this.

Although it does somewhat reduce the value of the auto-series function.

EViews Glenn
EViews Developer
Posts: 2616
Joined: Wed Oct 15, 2008 9:17 am

Re: Auto-Series and Lags

Postby EViews Glenn » Tue Nov 10, 2009 5:24 pm

An intermediate step improves slightly on trubador's suggestion.

Replace the line

Code: Select all

genr dlgdprowr = dlog(gdprowr)

with

Code: Select all

frml dlgdprowr = dlog(gdprowr)

and you'll get back most of the auto-series behavior.


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