i am wondering if it is possible to include conditional variance dummies in mean equations, my current estimation is
Code: Select all
arch(ged, garch, archm=var) r c nt nt*dummy @ no ne rf no*dummy ne*dummy rf*dummy
that is nt, no, ne, and rf have dummies, however, i also want to make archm have a dummy in the mean equation.
Thanks very much!