Include a structural break for intercept

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kco5min
Posts: 6
Joined: Sat Mar 26, 2011 11:54 am

Include a structural break for intercept

Postby kco5min » Sat Apr 02, 2011 4:16 am

Hi,

First of all I would like to thank you all for this forum....really helpfull

I am using Eviews 6 and i am trying to make an autoregressive equation for inflation.

I am guessing the my model can suffer from structural brakes in intercept and 3rd lag. For this i decided to include a dummy variable. For the 3rd lag it works but for the intercept Eviews says illegal opperation.

My code is:

inf d*c inf(-1) inf(-2) d*inf(-3) inf(-4)

Any ideeas why?

Thx in advance

startz
Non-normality and collinearity are NOT problems!
Posts: 3797
Joined: Wed Sep 17, 2008 2:25 pm

Re: Include a structural break for intercept

Postby startz » Sat Apr 02, 2011 7:03 am

Since "c" represents a column of ones, try replacing d*c with just d.

kco5min
Posts: 6
Joined: Sat Mar 26, 2011 11:54 am

Re: Include a structural break for intercept

Postby kco5min » Sun Apr 03, 2011 8:18 am

Thx a lot.


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