[Gretl-users] A time series question

Allin Cottrell cottrell at wfu.edu
Mon Jun 15 21:47:45 EDT 2009


On Mon, 15 Jun 2009, Henrique wrote:

> I have three variables (time series) named x, y and z. I need to know
> how "x" changes the impact of "y" on "z". Any suggestions?

Add an interaction term:

let xy = x * y
z = \beta_0 + \beta_1 x + \beta_2 y + \beta_3 xy + u
dz / dy = \beta_2 + beta_3 x

H0: \beta_3 = 0 says that x has no impact on the effect of y on z.

Allin Cottrell




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