1. Dummy variables in the simple dynamic model

5. Dummy variables and the VAR

6. The simplified model can be written as: The expected value of the process and the cointegration relations becomes:

7. The dynamic properties of the data can now be expressed as: where It is easy to see that:

8. Illustration

10. Are the observed outliers additive or innovational?

11. An additive outlier in real money stock

12. The Danish VAR model with dummy variables

14. The unrestricted VAR with dummies

15. We need to distinguish between: