Hello Allin, one more little thing. When I try to estimate vecm 7 1 AllHigh AllLow --quiet everything goes fine even on small samples of, say, 100 observations. However, when I try to add one exogenous variables, like vecm 7 1 AllHigh AllLow; d_AllOpen it only works on the full sample of 999 observations. When I restrict the sample to 746 observations, I get an "Insufficient degrees of freedom for regression" dialog. Is there a way to get around this? I would like to obtain OOS forecasts from an augmented VECM model. Thank you, Daniel.