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%HILD_LU C1 C2 C3.
Click Run.
Each value of rho is used in a general differencing transformation of the data. (The first observation is transformed into a missing value). Each set of transformed data is used in a regression and the sum of squares of the residual error (SSE) is recorded. The value of rho that produced the smallest SSE is printed and used to produce the final regression output using the transformed data.
Reference
"Econometric Models & Economic Forecasts" by Robert S. Pindyck and Daniel L. Rubinfeld, Second Edition, McGraw Hill.