interactive dummy variables in forecasting
Posted: Sat Mar 26, 2016 9:45 pm
Hi
Trust all is well. If you put in interactive dummy variables in an equation like so:
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
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