VECM restriction

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Vitto
Posts: 1
Joined: Thu Nov 18, 2021 10:43 am

VECM restriction

Postby Vitto » Sun Nov 21, 2021 11:00 am

I am writing a backtest prg where I wish to set the value of VECM coefficient COI equation (B(1,1), B(1,2), ...) equal to some estimates. I transform these estimates in scalar objects and I impose the restriction to the VECM coefficients in order to be equal to the scalar objects. Executing the prg I receive a error message regarding the incorrect restriction. How can I do? The restriction have to be only exogenous? Many thanks

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