On Thu, 29 Jan 2009, Sven Schreiber wrote:
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...
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?
Yes, it would, but it's very awkward combining the two dimensions
of restricted/unrestricted and lag order via the GUI pulleys and
wheels. However, I've now had a go at this in CVS and Windows
snapshot -- so please test!
And while we're (or I'm) at it, couldn't this flexible
choosing lags also be extended to endogenous variables?
Sorry, not sure what you mean: do you want "gappy" VARs/VECMs
with holes in the lag order?