Dummy variables in the simple dynamic model

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Dummy variables in the simple dynamic model
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Dummy variables and the VAR
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The simplified model can be written as
The expected value of the process and the
cointegration relations becomes
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The dynamic properties of the data can now be
expressed as
where
It is easy to see that
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Illustration
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Are the observed outliers additive or
innovational?
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An additive outlier in real money stock
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The Danish VAR model with dummy variables
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The unrestricted VAR with dummies
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We need to distinguish between
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