Hey,
we are currently analyzing the liquidty in the Danish mortgage bond market.
For this project we have several irregular time series variables as Bond
prices, interest rates etc. We declared all the variables as irregular time
series, and created the first differences of them to make them stationary.
Now we are trying to run a linear regression on the price of the bon including
dummy variables. The dummy variables are already included in the data table. Do
we have to declare them in R in addition as dummy variables or is the command
as.factor sufficient?
Moreover we always get the error message that the variable lengths differ,
since after taking the first differences the main variables have on observation
less than the dummy variables.. How can I solve for this?
Thanks a lot,
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