VAR Model with Dummy Variable
Posted: Sat Feb 22, 2014 4:58 pm
Hello,
to using in my thesis, I estimate an VAR model with an dummy variable. I have include the dummy variable in exogenous variables however I remove the constant variable in model. When I examine the outputs - impuls and respons - are very significant without constant variable.
Is this an problem for VAR model? Can i estimate VAR model without an constant variable?
Yours sincerely,
to using in my thesis, I estimate an VAR model with an dummy variable. I have include the dummy variable in exogenous variables however I remove the constant variable in model. When I examine the outputs - impuls and respons - are very significant without constant variable.
Is this an problem for VAR model? Can i estimate VAR model without an constant variable?
Yours sincerely,