### ARMA model with dummy variable

Posted:

**Tue Dec 29, 2009 11:45 am**Hi,

I tried to run an equation with an autoregressive model and a dummy variable (in order to be able to observe a shock in the regression after the period 34)

equation eq.ls data c dummy ar(1) ar(1)*dummy

with dummy equal to : series dummy=(@trend>34)

but there is an error message "AR is not defined".

I think I could use the equation

equation eq.ls data c dummy data(-1) data(-1)*dummy

instead of the first one, but I would like to get the inversed roots of the AR polynomial of the regression to check the stability of the model (and I am not sure that the use of data(-1) would be a great idea for the model at the period 35).

Is there a way to run the regression with the dummy variable and the AR terms ?

Thanks in advance

(i have eviews version 5)

I tried to run an equation with an autoregressive model and a dummy variable (in order to be able to observe a shock in the regression after the period 34)

equation eq.ls data c dummy ar(1) ar(1)*dummy

with dummy equal to : series dummy=(@trend>34)

but there is an error message "AR is not defined".

I think I could use the equation

equation eq.ls data c dummy data(-1) data(-1)*dummy

instead of the first one, but I would like to get the inversed roots of the AR polynomial of the regression to check the stability of the model (and I am not sure that the use of data(-1) would be a great idea for the model at the period 35).

Is there a way to run the regression with the dummy variable and the AR terms ?

Thanks in advance

(i have eviews version 5)