[Gretl-users] A time series question

Henrique henrique.coelho at gmail.com
Mon Jun 15 22:05:31 EDT 2009


> On Mon, Jun 15, 2009, Allin wrote:
>> 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, thank you so much! I'll start the estimation of this regression
as soon as possible (for my Ph.D thesis), I'd really liked it.

Best,
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge


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