Re: [Gretl-users] help
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.
Regards
José
José M. M. Belbute, Ph.D.
*Department of Economics | Centre for Advanced Studies in Management and
Economics (CEFAGE)*
On Sat, Dec 5, 2015 at 12:59 PM, Allin Cottrell <cottrell(a)wfu.edu> wrote:
On Sat, 5 Dec 2015, Riccardo (Jack) Lucchetti wrote:
On Fri, 4 Dec 2015, Allin Cottrell wrote:
>
> If you want a dummy variable for each year (unusual, but hey) you can do
>>
>> list DT = dummify(time)
>>
>
> Not so unusual with panel datasets, in fact,
>
True, and for that reason the "Time dummies" option would be active under
the Add menu in the panel data case.
Apparently José is talking about annual time series data, and wishes to
construct "custom" dummies for particular periods. This is not an automatic
action but is easy enough. Example
series WW2 = year > 1939 && year < 1946
If you don't have a "year" variable you can generate one as, e.g.,
series year = time + 1979
for data that start in 1980.
Allin Cottrell
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