Dummy variable in a VECM

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Joined: Fri Dec 20, 2013 1:50 pm

Dummy variable in a VECM

Postby Macedonia » Fri Dec 20, 2013 2:01 pm

Hi everyone!
My name is Lorenzo and I'm an Italian student of Economics. I'm writing here because I have a problem: I'm want to develop a Vector error correction model with two I(1) variables and I suspect a contegrating relation between them if I insert a shift dummy in the long run equation. I tried to estimate my model adding the dummy as exogenous, but doing that it does not enter in the cointegrating equation. Is here somebody who can help me?

Thanks a lot

Posts: 13
Joined: Tue Aug 05, 2014 3:50 am

Re: Dummy variable in a VECM

Postby eisamabodian » Mon Feb 23, 2015 9:33 am

If you enter dummy variable in the VAR or VECM model it appears
in the bottom of the page in the results page.Because you included it in exogenous variables.
If you want to obtain the elasticity of dummy variable in your estimated model you can insert it
in the box of endogenous variables.
But i am not sure that this procedure to be right absolutely.

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