Search found 2 matches
- Wed May 06, 2015 9:52 am
- Forum: Estimation
- Topic: Urgent help needed! MLE and ar(1)
- Replies: 0
- Views: 1733
Urgent help needed! MLE and ar(1)
Hi! I have a question on time series regression. P = a + b1X1+b2X2+b3D+b4D*X1+Monthly dummies P, X1, X2 are all I(1). D is time period dummy. The OLS of the above eqn seems spurious (with low DW statistic). But its residuals follow I(0) so I believe there should exist some cointegration relationship...
- Thu Dec 18, 2014 10:51 am
- Forum: Estimation
- Topic: ECM, VAR, dummy and dummy interaction term
- Replies: 0
- Views: 1951
ECM, VAR, dummy and dummy interaction term
Dear all, Can someone please help me? I'm a beginner and not sure if I'm doing correctly since this is my first time learning VAR... especially with dummies! I'm trying to estimate the following regression: Price = C + B1*Cost + B2*Dummy + B3*(Dummy*Cost) + u , where Dummy is equal to 1 for some per...