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