Thanks Allin, just one last question.   Do we multiply the dummy series by level series or stationary series? --- On Mon, 11/15/10, Allin Cottrell <cottrell(a)wfu.edu&gt; wrote: From: Allin Cottrell <cottrell(a)wfu.edu&gt; Subject: Re: [Gretl-users] Do we test for unit root in Dummy variables To: "Gretl list" <gretl-users(a)lists.wfu.edu&gt; Date: Monday, November 15, 2010, 4:11 PM On Mon, 15 Nov 2010, Anutechia Asongu wrote: No, we don't. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

Thanks Ricardo --- On Tue, 11/23/10, Ricardo <ricardogs(a)terra.com.br&gt; wrote: From: Ricardo <ricardogs(a)terra.com.br&gt; Subject: Re: [Gretl-users] Do we test for unit root in Dummy variables To: "Gretl list" <gretl-users(a)lists.wfu.edu&gt; Date: Tuesday, November 23, 2010, 11:05 AM In fact, we can test. See http://cowles.econ.yale.edu/P/cd/d13b/d1364.pdf ad references therein. Ricardo Em Seg, 2010-11-15 às 19:11 -0500, Allin Cottrell escreveu: _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users