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time varying coefficient

Posted: Tue Jul 24, 2012 7:29 am
by john anania
I've built a supply/demand model of housing, but find the real interest rate insignificant in the price equation. If a subsample of the regression is dropped, the real interest rate is strongly significant with the right sign. How do I account for a varying coefficient in a two-stage least squares regression?

Thanks

Re: time varying coefficient

Posted: Tue Jul 24, 2012 8:16 am
by startz
You might interact the interest rate with a dummy variable defined for the subsample.