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I am trying to refine a VEC model by estimating it as a System. Even though the VECM estimates almost instantly, I consistently get a size limitation warning when I try to estimate a System version of the same system, with the message that "751 is not a valid index for vector-series-coefficient C." So in effect, the number of coefficients can be increased up to C(750).

By creating versions of my VECM with fewer coefficients than 750 I see that this problem does not occur. I don't see this limitation referenced anywhere in the documentation. Does anyone know a way of working around it? My Eviews version is EViews 12, Enterprise edition, Build of 10.18.21.

Don't use C as your coefficient vector - create your own (of size larger than number of coefficients you need), and use that instead.

Thanks, very much, Gareth. That did the trick.

For others in a similar spot, I had to rewrite the System representation with a new stand-in for C, which I very creatively termed CC. I then used the command coef(n) = CC, where n was the length of my new vector. It all worked out well.