VECM restriction
Posted: 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