Auto-Series and Lags

[Daniel Bachman]

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]

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]

Thanks. I will do this.

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

[EViews Glenn]

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.