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That did the trick! Thanks a lot!

When I run the same model in my PRG it keeps stopping at AUT. The only difference is that I'm computing a rolling RMSE so this is being re-estimated every month in a 120-month rolling estimation window. Maybe this has something to do with the sample? In some cases, it could not be finding a suitable...

Depends on the specification I set for GETS. Using EQUATION TMP_MODEL{%TEMP}.VARSEL(METHOD=AUTO, NOJB, NOARCH, NOLM, NOPET, PVAL=0.05), it stops at AUT.

Sure, here it goes.

Hello, I'm using EViews 13 and trying to use the VARSEL function with the GETS method. The always-included regressor is just my dependent variable and the list of search-regressors has a constant, the 1-12 lags of the dependent variable and the 1-12 lags of another variable. I'm doing this in a loop...