11-07-2012 05:16 PM
I have a data set which contains daily data. I am gonna put an ARCH model to this data set.
How can I add a dummy variable to the heteroskedastic error part of garch model (sigma squared) so that the dummy variable equals to 1 for every Monday?
11-07-2012 05:40 PM
You could use the weekday function with an ifn function. e.g.:
format date date9.;
input date date9.;
11-07-2012 07:08 PM