VECM estimation
Posted: Fri Oct 25, 2013 1:19 pm
dear forum,
in VECM (VECTOR ERROR CORRECTION) MODEL (Estimate VAr--Vecm), dummy variables enter the model as "exogenous" variables in dialog box.
Y, x1, x2: endegenous
dummy: exagenous
What about interaction dummy? (D*x1)
does it enter endogenous or exogenous box?
greatly appreciate your help..
regards,
in VECM (VECTOR ERROR CORRECTION) MODEL (Estimate VAr--Vecm), dummy variables enter the model as "exogenous" variables in dialog box.
Y, x1, x2: endegenous
dummy: exagenous
What about interaction dummy? (D*x1)
does it enter endogenous or exogenous box?
greatly appreciate your help..
regards,