Optimal number of dummy's in VECM?
Posted: Tue May 09, 2017 7:02 am
I am performing VECM with around 60-variables(quarterly data) with three variables. I use around 11 dummy and I got VECM which is positive of all test ( sigh of coefficient,autocorrelation, heteroscedasticity, normality of residuals etc.)
So my question does this 11 dummy's is normal for VECM? Or how many dummy variable is optimal for using in VECM?
So my question does this 11 dummy's is normal for VECM? Or how many dummy variable is optimal for using in VECM?