VAR Model with Dummy Variable

[onursrmeli]

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 for VAR model? Can i estimate VAR model without an constant variable?




Yours sincerely,

[felix.casares]

why did you drop constant? You have to explain why did you do that.