I'm writing to the community as I've been having some issues in estimating a Vector Error Correction Mechanism (VECM).
In particular, I'm trying to move a code from Matlab to Python. My issue is mainly in the syntax I need to use to estimate my model. In particular, I'm not able to code the two following steps:
- first, my model is a constrained VECM, that is once the autoregressive part is estimated, I would like to estimate only some specific lags (i.e. t-1, t-4, t-12), possibly not for all the variables entering the cointegration vector.
I see the parameter k_ar_diff which seems to me must be an integer. If I input k_ar_diff = 12, all the lag from 1 to 12 are estimated. I would need something like k_ar_diff = [1, 4, 12].
Is there a way to do it?
- secondly, as I also add exogenous variables, I would also like to constrain the estimation of the loadings of those onto the endogenous variables. I try to explain it better: Say that the endogenous variables are [Y1 Y2 Y3], and the exogenous variables are [X1 X2 X3]. Maybe X2 affects Y1 and Y3 only and hence I would like to constrain the loading on Y2 to be equal to zero.
Can also this be done in some way?
Thank you very much for your help and support.