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I am attempting to build a multivariate DOLS model. More specifically, it is model that is already being used where I work, but I am trying to replicate the model in R. Currently, the model is used via eViews.

This is not a programming question. My problem, however, is that when the model is run in eViews, I cannot fully understand what is going on in the backend within eViews sufficiently to replicate the results via a dynamic model in R (although I'm getting close results).

In eViews, the multivariate model uses the following options:

  • Dynamic model (the DOLS option)
  • Cointegrating regression
  • 3 fixed lags, 0 fixed leads
  • Constant trend component

Using the dynlm package in R, I have tried building various differenced models, saving the residuals, re-running the undifferenced regression with the residuals, incorporating lags 1 thru 3, etc. And that's just the beginning.

Using that criteria, can someone with a knowledge of eViews please take me thru the steps (not in R, but statistically) of how eViews is building that type of model?

I really want to understand how this process works, to where I can replicate the results on my own.

Thanks.

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  • $\begingroup$ It is a pity we do not have enough people interested in these types of models on this site. I am not using eViews, so I cannot really tell what is going on. Have you tried carefully reading the manual for that particular function in eViews? Or maybe there is some eViews forum where you could get help? If you find the answer in the end, you could post a brief note here (as an answer to your own question), it could be interesting to learn what was going on there. $\endgroup$ – Richard Hardy Jan 8 '17 at 0:37

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