Variable in cointegrating vector but not VAR
Posted: Wed Jun 05, 2019 4:03 am
I am attempting to add a variable to the cointegrating vector, but for it to not feature in the VAR. Can anybody please advise on how this might be done as I have not come across it before.
See 'Financial liberalisation' variable restriction in this Bank of England blog estimation. https://bankunderground.co.uk/a-questio ... cal-annex/
File attached with Financial lib included in the VAR and VEC restrictions applied. I have also tried adding it as an exogenous variable in the VAR and applying the restriction but Eviews cannot find a way to do this either (as per previous Eviews Blog discussion- Cointegration - exogenous variables)
Thanks for any help
N.B version 9.5
See 'Financial liberalisation' variable restriction in this Bank of England blog estimation. https://bankunderground.co.uk/a-questio ... cal-annex/
File attached with Financial lib included in the VAR and VEC restrictions applied. I have also tried adding it as an exogenous variable in the VAR and applying the restriction but Eviews cannot find a way to do this either (as per previous Eviews Blog discussion- Cointegration - exogenous variables)
Thanks for any help
N.B version 9.5