Estimate a cointegration model with a deterministic variable

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Estimate a cointegration model with a deterministic variable

Unread postby xin_zh » Thu Jul 02, 2015 2:06 pm

Hi Tom,

I know I can use "dettrend=" option in the procedure @cats(options) to include a constant or a time trend in a cointegration model. But what should I do if I need to include a deterministic dummy variable with "1" for some specific days and "0" for others? I searched the user guide and other manuals but did not find the answer. please help!

Thank you very much!
Xin
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Re: Estimate a cointegration model with a deterministic vari

Unread postby TomDoan » Fri Jul 03, 2015 2:47 pm

Isn't that what the "DUM" option is for? Section 3.5 (in the CATS manual) covers an example of its use.
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Re: Estimate a cointegration model with a deterministic vari

Unread postby xin_zh » Wed Jul 08, 2015 6:46 pm

Exactly! Thank you very much Tom!
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