how to estimate the following nonlinear autoregressive model in eviews?
y(t) = [c0 +B1y(t-1)]+[c1 + b2 y(t-1)]*m(t) + e(t) (model 1 in base paper)
where m(t) is a dummy variable.
m=1 if y(t-1) > 0
b1 and b2 are coefficients.
the base paper is also attached.
Thank you.
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- Sat Aug 16, 2014 1:38 am
- Forum: Estimation
- Topic: Nonlinear auto regressive model
- Replies: 1
- Views: 1796