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Hi, I am wondering whether it is normal to get such different historical decomposition results when performed on a VECM versus a VAR. I have checked that the VAR is stable and that the equivalent VECM is also stable so I am unsure why this is happening. Please see images attached. The VAR one looks ...

Hi, I have a question regarding the treatment of exogenous variables in a VECM. I am using Eviews 12 and all seven variables are I(1). I have estimated a VAR (with all variables in levels) that contains 5 endogenous and 2 exogenous variables and a constant. From this specification it says that the o...