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@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
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj@tcd.ie
mailto:frainj@gmail.com
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