time varying coefficient

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john anania
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Joined: Tue Jun 05, 2012 8:44 am

time varying coefficient

Postby john anania » Tue Jul 24, 2012 7:29 am

I've built a supply/demand model of housing, but find the real interest rate insignificant in the price equation. If a subsample of the regression is dropped, the real interest rate is strongly significant with the right sign. How do I account for a varying coefficient in a two-stage least squares regression?

Thanks

startz
Non-normality and collinearity are NOT problems!
Posts: 3798
Joined: Wed Sep 17, 2008 2:25 pm

Re: time varying coefficient

Postby startz » Tue Jul 24, 2012 8:16 am

You might interact the interest rate with a dummy variable defined for the subsample.


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