VECM Model

[mrocha]

Hello,

I have estimated a VECM model with three endogenous variables (log oil price, log gas price and log electricity price) and with the following exogenous variables: two dummies for 2006 and 2008, heating degree days (hdd) and cooling degree days. I got two cointegrating equations (from the Johansen procedure). However, I was confronted with two problems:
1) VEC specification imposes 1 unit root (implying that my model is not stable)
2)presence of heteroskdasticity (White heteroskedasticity test).

There is some way to solve these problems?

Thank you very much.