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1. If I have multiple cointegrating vectors (say, 3), how do I interpret the results? Do I include all the three vectors in the VECM model? That would give me three different alphas for each equation. How should I interpret the results? 2. Should I use the same number of lags decided using VAR and l...

I have the following questions. Any help would be greatly appreciated. 1. Is there any way I can estimate VECM in eviews with a different estimation technique? When I go to proc and make system and estimate VECM it gives me results. Can I now make it as a system and estimate using any of the techniq...