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Recursive residuals and dummy variables
Posted: Wed Apr 30, 2014 8:16 am
by MOG
Hi,
It seems it is not possible to get recursive residuals for the full sample when a dummy variable is inlcuded in the equation. Why is that?
Regards
Martin
Re: Recursive residuals and dummy variables
Posted: Wed Apr 30, 2014 8:39 am
by EViews Gareth
I'm not sure I understand the question. This seems to work just fine:
Code: Select all
create u 100
series y=nrnd
series dum = nrnd>0
series x=nrnd
equation eq1.ls y c x dum
eq1.rls(r,s)
Re: Recursive residuals and dummy variables
Posted: Wed Apr 30, 2014 9:02 am
by MOG
Yes, you're right. But for this case it does not work:
Code: Select all
create A 1980 2010
series y=Nrnd
series x=nrnd
Series dum = 0
Smpl 2000 2010
Series dum = 1
Smpl @All
equation eq1.ls y c x dum
eq1.rls(r,s)
Re: Recursive residuals and dummy variables
Posted: Wed Apr 30, 2014 1:12 pm
by EViews Gareth
Any sample ending before 2000 will be singular due to perfect collinearity.
Re: Recursive residuals and dummy variables
Posted: Wed Apr 30, 2014 3:49 pm
by MOG
Yes, of course, since in the smaller samples the dummy-variable values are constant, and the matrix of varible-data has reduced rank until the sample size is big enough to allow the dummy-variable to switch values. Thanks!