shift dummy in VECM
Posted: Fri Jul 02, 2010 2:05 am
Dear guys,
I have a problem. I have to estimate a VEC model with a shift dummy in the cointegration vector. How can I insert the shift dummy in the long run relation? If I consider the shift dummy as exogenous it does not enter in the cointegration. Thanks.
I have a problem. I have to estimate a VEC model with a shift dummy in the cointegration vector. How can I insert the shift dummy in the long run relation? If I consider the shift dummy as exogenous it does not enter in the cointegration. Thanks.