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