On 21/11/2023 19:36, Artur T. wrote: What Artur posted is quite sophisticated: if you want something that cuts the logic to its bare bones and makes it easier (well, it's a matter of taste) to follow what's going on, you may want to study the script below: <hansl> set verbose off open denmark.gdt --quiet scalar maxlag = 4 list ALL = LRM LRY IBO IDE # dep. var. must come first s = seq(0, maxlag)' matrix c = s loop i = 2 .. nelem(ALL) n = rows(c) c = (c ** ones(maxlag+1,1)) ~ (ones(n,1) ** s) endloop smpl +maxlag ; matrix mX = ALL mincrit = $huge loop i = 1 .. rows(c) list Z = deflist() loop j = 1 .. nelem(ALL) l = c[i,j] first = -(j==1) if !first || (l > 0) list H = mX[j] list Z += H(first to -l) endif endloop ols LRM const Z --quiet if $bic < mincrit best = Z mincrit = $bic endif endloop print mincrit depvar = ALL[1] ols depvar const best </hansl> ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------