Sven Schreiber schrieb: Gergely (and maybe other interested people), attached is a first attempt of a gretl function package that hopefully does what you need. If you don't know how to use such a function package please read chapter 10.6 of the gretl manual. Before I upload this to the package server it would be nice if people could test it and give feedback. I did some testing myself and squashed some bugs, but I'm sure there are more. Notice that if you don't specify exogenous variables in the underlying VECM (the "standard" case) the respective (list) arguments must be set to the gretl keyword 'null'. good luck, sven