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st: How can I include exogenous variables into a VECM


From   "Thomas Bachl" <bachl.thomas@t-online.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: How can I include exogenous variables into a VECM
Date   Thu, 17 Oct 2013 11:11:02 +0200

Dear list members,

I would like to include an exogenous variable in a Vector Error Correction
Model.

I would like to run a VECM Model for two variables x and y. Now I would like
to include z as a control variable.
Does anyone know how to add exogenous variables into my equations?
The exog() option available for VAR does not apply to the VEC command.


Thank you very much for your help.

With kind regards,

Bachl Thomas

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