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by onursrmeli
Sat Feb 22, 2014 4:58 pm
Forum: Econometric Discussions
Topic: VAR Model with Dummy Variable
Replies: 1
Views: 4982

VAR Model with Dummy Variable

Hello, to using in my thesis, I estimate an VAR model with an dummy variable. I have include the dummy variable in exogenous variables however I remove the constant variable in model. When I examine the outputs - impuls and respons - are very significant without constant variable. Is this an problem...
by onursrmeli
Sat Feb 22, 2014 4:19 pm
Forum: Econometric Discussions
Topic: VAR, VECM, COINTEGRATING REGRESSIONS
Replies: 2
Views: 5328

Re: VAR, VECM, COINTEGRATING REGRESSIONS

Hello, I would like to make a model that estimate central bank interest reaction function. To do this, I took Taylor Rule as an based model. In this regard my variables are Goutput -> I(0), Ginf -> I(0) on -> (0) dollar currency -> I(1). dollar currency is the only variable which is not stationary i...

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