Re: [Gretl-users] [OT] Including combined dummy-variables
Look for slope dummies or differential slope dummies in the index to
your econometric texts. There is some material in Gujarati and Porter
(2009) which iss the first text that I checked.
The basic theory is that your X'X matrix must be non singular. Thus
you can add one of LogAvgTemp x Spring or LogAvgTemp. to your X
matrix. Both are equivalent but one may be more convenient than the
other. (Running both may save you some calculations and/or make some
test statistics easier to calculate).
I hope that this is of some help.
John
On 13 May 2011 13:04, Johannes Lips <johannes.lips(a)googlemail.com> wrote:
Hello,
sorry for posting such a probably off-topic question to this list but I
don't know of any other place I could ask.
I am fitting an arima model with exogenous variables and was trying to
identify if there exist differences between the relationship depending on
the season of the year.
Therefore I added a combined Variable which combines a binary dummy for the
season (Summer, Fall, Winter) with the exogenous variable the logarithmic
average temperature on a particular day. So I have three Dummies (LogAvgTemp
x Summer, ..., LogAvgTemp x Winter).
Now I don't know if it's sufficient if I add those three combined dummies or
if I should also add the LogAvgTemp as an additional exogenous variable.
Perhaps someone could point me to a text book or something similar which
might address such a problem.
Thanks in advance and once again sorry for being slightly off-topic,
johannes
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John C Frain
Economics Department
Trinity College Dublin
Dublin 2
Ireland
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