How to put dummies in Cointegration space?

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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How to put dummies in Cointegration space?

Postby jzpan » Mon Jul 19, 2021 4:07 pm

When estimating a VEC model, EViews allows you to specify dummies as exogenous variables as shown in the attachment. But these dummies will be unrestricted, outside the cointegration space. I need to specify dummies as restricted to cointegration relations. I know both RATS and JMulTi have that option but can't seem to find a way to do it in EViews.

Any help would be appreciated.


VEC spec.jpg
VEC spec.jpg (49.46 KiB) Viewed 108 times

EViews Glenn
EViews Developer
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Joined: Wed Oct 15, 2008 9:17 am

Re: How to put dummies in Cointegration space?

Postby EViews Glenn » Tue Jul 20, 2021 8:27 am

Unfortunately, at the moment those types of exogenous variables are not permitted. This is an active area of work and we hope to have something soon, but I'm sorry that we can't support you at the moment. Please let us know if you have additional features you would like.

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