Variable in cointegrating vector but not VAR

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redversjones
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Joined: Thu Dec 07, 2017 10:11 am

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. https://bankunderground.co.uk/a-question-of-interest-is-uk-household-debt-unsustainable-technical-annex/

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
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uk sustainable debt level.wf1
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