Hi everyone, Longtime reader first time questioner. A colleague was showing me the EViews statistical package and demonstrating some of its regression capabilities--like DOLS--and commenting how easy it was to do certain kinds of regression. Being more of an R type, I went to try and replicate his regression results in R and to my surprise couldn't find a way--or anyone discussing how--to perform a dynamic ordinary least squares regression in R. Are there any packages or guidelines on how to do this? I've started messing with d() and L() in dynlm to see if I can recreate the leads/lags portions of the DOLS equation, but I'm having little success at the moment. I'm incredibly confused how to do this at the moment so any pointers would be appreciated! Sincerely, Stephen [[alternative HTML version deleted]]