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by Pawel
Wed Jan 20, 2021 2:26 pm
Forum: Econometric Discussions
Topic: Outlier corection with dummy variable
Replies: 0
Views: 850

Outlier corection with dummy variable

Dear All, I have to estimate an autoregression in a general form: X(t)=a+ b*X(t-1) + dummy + e(t). The dummy variable takes 1 for only one observation and zero elsewhere. My question is: can I estimate the model above, obtain the estimate od the dummy variable, calculate Z(t) =X(t)-estimated dummy (...

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