On Mon, 2 Jul 2018, Sven Schreiber wrote:

Am 02.07.2018 um 11:59 schrieb Andreas Zervas:

I found out that although cointegration case 3 (unrestricted constant) works well, case 4 (trend restricted to the cointegration space) produces the following error message:

Matrices not conformable for operation
*** error in function vecm_est, line 87
> matrix mu = olspar[1,] | (jalpha * jbeta[n+1,])'

Hm, this looks wrong indeed as a matrix product. Do I guess correctly that you have a rank higher than 1? If so, then it could be that this case has never been properly tested.
The same problem would probably also happen for a restricted constant, could you try that just to check (also with rank > 1)?

It would be quite helpful if you could send us a script exposing the problem.