lags in VECM estimation and forecasting

[nupogodi]

Why are lags not permitted in VECM estimation and forecasting?

Code: Select all

wfcreate m 2001 2020 series a = nrnd + 100 series b = nrnd + 100 var var01.EC(C,1) 1 6 LOG(a) LOG(b(-5)) model model01 model01.merge var01 show model01