Variable in cointegrating vector but not VAR

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Variable in cointegrating vector but not VAR

Postby redversjones » Wed Jun 05, 2019 4:03 am

I am attempting to add a variable to the cointegrating vector, but for it to not feature in the VAR. Can anybody please advise on how this might be done as I have not come across it before.

See 'Financial liberalisation' variable restriction in this Bank of England blog estimation.

File attached with Financial lib included in the VAR and VEC restrictions applied. I have also tried adding it as an exogenous variable in the VAR and applying the restriction but Eviews cannot find a way to do this either (as per previous Eviews Blog discussion- Cointegration - exogenous variables)

Thanks for any help

N.B version 9.5
uk sustainable debt level.wf1
(71.72 KiB) Downloaded 62 times

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