panel DOLS: how to exclude dummy interaction terms from short-run dynamics?

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maragloria
Posts: 82
Joined: Tue Jun 29, 2010 7:09 am

panel DOLS: how to exclude dummy interaction terms from short-run dynamics?

Postby maragloria » Tue Sep 05, 2017 3:14 pm

Hello,

I'm trying to account for structural breaks in the cointegrating relatioship by including breakpoint dummies interacting with the long-run coefficients (as well as the intercept shift term) using panel DOLS estimator. How can I tell EViews (9.5) not to include these dummy interactions in the short-run dynamics (not to have any lead/lag differences for them)? Even if I place them in the "deterministic regressors" EViews still add the differenced terms.

Many thanks.

EViews Glenn
EViews Developer
Posts: 2530
Joined: Wed Oct 15, 2008 9:17 am

Re: panel DOLS: how to exclude dummy interaction terms from short-run dynamics?

Postby EViews Glenn » Wed Sep 06, 2017 3:04 pm

Unfortunately, there is no way using our current engine. You can, of course, just estimate the DOLS equation directly by adding your leads, lags, etc. to a standard equation specification.


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