Hi,
consider this example:
<hansl>
open denmark
var 2 LRM LRY -q # printout says "lag order 2"
eval $system.order # gives 2
vecm 2 1 LRM LRY -q # again, printout says "lag order 2"
eval $system.order # gives 1
</hansl>
Of course all this is just a matter of convention, but since "vecm"
expects the lag order parameter as referring to the levels (thus the
same as the corresponding VAR), and the printout also refers to that
levels order, I tend to view this as a bug. Right?
thanks
sven