I encountered the following problem when specifying a VECM with
I wanted to specify x(-1) as a restricted exogenous variable. It turned
out to be not so easy to get the lag in there instead of just the
contemporaneous value; adding the lag of x to the dataset doesn't help,
because the lags don't show up in the VECM specification dialog. So I
had to manually create an auxiliary variable holding the lag of x.
Given that the VAR specification dialog has a great interface for
choosing the lags of exogenous variables, wouldn't it be natural to have
the same thing in the VECM window?
And while we're (or I'm) at it, couldn't this flexible approach for
choosing lags also be extended to endogenous variables?