Exogenous variables in VECM
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I am trying to estimate a VECM model using jcitest with an exogenous variable, but I see no way to do this. Can this be done? Also, how can I determine the accuracy of the estimated parameters (i.e. their std. errors and p-values)?
I figured it might be possible to work around the exogenous part estimating a VARX and then using var2vec to retrieve the relevant VEC model, but once again I wouldn't know how to analyse the parameter significance after this conversion.
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Fran Pons
am 20 Nov. 2015
Hi Folmer,
My nderstanding is that there is not such a test in MATLAB. Actually I haven't been able to test even ARCH effects for residuals of a VECM model. Matlab is seriously limited in comparison to Eviews for example on these kind of things.
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