Creating binary independent variable

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axel212
Posts: 1
Joined: Sun Dec 27, 2020 9:12 am

Creating binary independent variable

Postby axel212 » Sun Dec 27, 2020 9:38 am

Hello guys :)

I am a beginner with Eviews 10 and would very much appreciate if anyone could help with an issue related to creating an independent variable.

I am using the software to determine how different factors influence the price of a bitcoin. There's a classical linear regression model with a number of independent variables, representing weekly data from Google Trends, S&P 500 , Dow Jones, dollar/euro exchange rate etc.

However, one of the independent variables is coded data with bitcoin-related news. I have gathered data for a certain period and labeled bitcoin news for each day as 1 if they're positive, -1 if they're negative, and 0 if there were no news on that day.

The question is, how do I use this type of data in Eviews to test if this variable has any effect on the bitcoin prices? Should I create a dummy variable? If so, how?

Also, does it make sense to keep this variable along with the others in the regression, given different frequencies of data (daily data for the news, weekly for the other variables), or should I split into two regressions?

Apologies for all the questions, but I truly am frustrated :shock:

startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: Creating binary independent variable

Postby startz » Sun Dec 27, 2020 11:52 am

You might want to create two dummies to include

Code: Select all

series positiveDummy = news=1
series negativeDummy = news=-1


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