I have three dummy variables and I decide to drop one of them each time, so I always have three groups (intercept + two dummy variables).
Why I have different results? It's very important for me because of course if I have different results I have also different conclusion!
Thanks
Bea
Search found 3 matches
- Mon Aug 31, 2009 1:50 am
- Forum: Econometric Discussions
- Topic: GARCH with dummy (how to read coefficients)
- Replies: 5
- Views: 8830
- Sun Aug 30, 2009 12:29 pm
- Forum: Econometric Discussions
- Topic: GARCH with dummy (how to read coefficients)
- Replies: 5
- Views: 8830
Re: GARCH with dummy (how to read coefficients)
Dear Startz, thank you very much for your reply. However, I am still confused. I'll try to explain better my problem. I have three dummy variables: d_d2 d_d3 d_d4. When I estimate the GARCH I omit one of them. Suppose that I omit the last one. I will have this output: Coefficient Std. Error z-Statis...
- Sun Aug 30, 2009 10:10 am
- Forum: Econometric Discussions
- Topic: GARCH with dummy (how to read coefficients)
- Replies: 5
- Views: 8830
GARCH with dummy (how to read coefficients)
Hi, I am performing a GARCH with three dummy variables. To avoid the variable trap, I entered just two dummy variables in the GARCH. My problem is that I know that I have to read the coefficients as deviation from the coefficient of the constant(the dummy ommitted), but the result is not the same if...