Re: [Gretl-users] help

On Sat, 5 Dec 2015, José Belbute wrote: Yes, > > I’m referring to time dummy variables to control for a (previously) known > (or unknown) structural break at a specific point um time, whatever the > frequency of our dataset – daily, weekly, monthly,…. > > In particular, consider the fooling equation to be estimated > > y(t)=a0+b0t+a1DM+b1DT+x(t) > > where t is time, ai and bi (with i=0,1) are parameters, y and x are > observed variables – for example, inflation and unemployment, – and DM and > DT are the needed dummies. The dummies take the following values: DM =1 if > t>TB and DM=0, otherwise, and DT = (t-TB) if t>TB and DM=0 otherwise. Note > that TB is the time of a possible structural change. > > Clearly, it is quite simple to generate and include these time dummies in > our dataset using excel format files. > > My point is how to generate these dummies using gretl. > scalar TB = <whatever you want> series DM = t > TB series DT = t > TB ? t - TB : 0 where "t" is a built-in time variable that starts at 1. You should take a look at the Hansl Primer (it's under the Help menu). Allin Cottrell