Stepwise Least Squares ->Lag specification

[andre182]

Hello,
I would like to know how to specify lags when doing the stepwise least squares method. I intend to run a backward stepwise least squares from a general to a specific model à la Hendry. I do not want to write down every single lagged independent variable into the "List of search regressors"-window. Is there a special way to include all lags(maximum possible number of lags) that the programme should stepwisely analyze like for instance inflation(-x) or inflation(-all) or inflation(-all lags) etc? Thank you very much in advance. Greetings

[EViews Gareth]

inflation(-1 to -5)

will include all lags of inflation between 1 and 5

[andre182]

Thank you Gareth!
Now, I have encountered another problem-After clicking the OK-button to run the Stepwise Regression, EViews shows a failure message saying: "Positive or non-negative argument to function expected". What does this mean? The options that I have chosen are backwards, unidirectional with p-value of 0.05, 1000 backward steps, no number of regressors to select and no weight series. Thanks a lot. Regards

[EViews Gareth]

Hard to say without having your workfile.

[j52]

Hey Gareth,

is it possible to specify the lags for a differenced value? e.g. d(inflation(-1 to -5)) Because then I get an error message.

[EViews Gareth]

No.

[CharlieEVIEWS]

If im not mistaken, and if you haven't already found a simple solution to your problem, I believe you could use:

Code: Select all

genr dinflation = inflation-inflation(-1),

then you can use:

Code: Select all

dinflation(-1 to -5)

?