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Hi again, thanks for your quick response, could you please explain what the exact difference is between "exclude var1 var2" and "exlude(actexist=true)" when var1 and var2 are treated as exogenous over the forecasting horizon (i.e. I have data provided on var1 and var2 that should...

You can use the exclude command to list variables that you want to treat as exogenous. Hi Gareth, I have been using your advice in forecasting from a three variables VECM where two variables were declared as exogenous over the forecasting horizon. To my understanding, exclude var1 var2 should produ...