shift dummy in VECM

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Joined: Mon Oct 05, 2009 4:28 am

shift dummy in VECM

Postby wolly77 » Fri Jul 02, 2010 2:05 am

Dear guys,
I have a problem. I have to estimate a VEC model with a shift dummy in the cointegration vector. How can I insert the shift dummy in the long run relation? If I consider the shift dummy as exogenous it does not enter in the cointegration. Thanks.

Posts: 2
Joined: Fri Dec 20, 2013 1:50 pm

Re: shift dummy in VECM

Postby Macedonia » Fri Dec 20, 2013 2:05 pm

I just posted a question about this identical problem.. Did you solved it? :?

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