panel DOLS: how to exclude dummy interaction terms from short-run dynamics?
Posted: Tue Sep 05, 2017 3:14 pm
Hello,
I'm trying to account for structural breaks in the cointegrating relatioship by including breakpoint dummies interacting with the long-run coefficients (as well as the intercept shift term) using panel DOLS estimator. How can I tell EViews (9.5) not to include these dummy interactions in the short-run dynamics (not to have any lead/lag differences for them)? Even if I place them in the "deterministic regressors" EViews still add the differenced terms.
Many thanks.
I'm trying to account for structural breaks in the cointegrating relatioship by including breakpoint dummies interacting with the long-run coefficients (as well as the intercept shift term) using panel DOLS estimator. How can I tell EViews (9.5) not to include these dummy interactions in the short-run dynamics (not to have any lead/lag differences for them)? Even if I place them in the "deterministic regressors" EViews still add the differenced terms.
Many thanks.