Thanks very much, I was pretty confused...
Made it a lot clearer!
Have a nice weekend!
On Fri, May 13, 2011 at 5:01 PM, John C Frain <frainj(a)gmail.com> wrote:
Look for slope dummies or differential slope dummies in the index
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.
On 13 May 2011 13:04, Johannes Lips <johannes.lips(a)googlemail.com> wrote:
> 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
> season (Summer, Fall, Winter) with the exogenous variable the logarithmic
> average temperature on a particular day. So I have three Dummies
> x Summer, ..., LogAvgTemp x Winter).
> Now I don't know if it's sufficient if I add those three combined dummies
> 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,
> Gretl-users mailing list
John C Frain
Trinity College Dublin
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