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Is it possible to not include an intercept term? Some papers I've read that use daily data, suggest an intercept in both the linear and non-linear parts of this model are not needed because of the frequency.
I am running a VECM and trying to include an indicator variable in the cointegrating equation, but do not want it in the lagged differences part of the model. This indicator variable is not for a structural break, instead it is for a corporate information release event. This is what I have so far: E...