interactive dummy variables in forecasting

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freddyg_7
Posts: 3
Joined: Tue Jul 21, 2015 4:36 pm

interactive dummy variables in forecasting

Postby freddyg_7 » Sat Mar 26, 2016 9:45 pm

Hi
Trust all is well. If you put in interactive dummy variables in an equation like so:

Code: Select all

equation {%asset}_m.ls(cov="hac")  dlog({%asset}) dlog({%asset}(-1))*@recode(vix>22,1,0) dlog(world_us)*@recode(vix>22,1,0) dlog(vix)*@recode(vix>22,1,0) c dlog({%asset}(-1))*@recode(vix<22,1,0) dlog(world_us)*@recode(vix<22,1,0) dlog(vix)*@recode(vix<22,1,0)


and assuming I have generated forecasts of "VIX". Will the model solver know to apply the conditions inherent in the dummy variables. That is vix>22 or vix<22 ?

Thanks in advance
fred

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11283
Joined: Tue Sep 16, 2008 5:38 pm

Re: interactive dummy variables in forecasting

Postby EViews Gareth » Sat Mar 26, 2016 10:15 pm

Yes.
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