Dummy variable in a VECM
Posted: 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
Lorenzo
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
Lorenzo