How are the variables treated in TVECM and VECM treated

[Francis Tsiboe]

Hello tsdyn 

I know this question may be naive, but i want to know if the variables fed into the TVECM and VECM are first differenced in the estimation.

Best 

FT

[Matthieu S]

Hi

Yes, indeed, variables are put in the VECm form for estimation, as looking at the code of VECM reveals:

Xminus1 <- embed(y, p + 2)[, (k + 1):(k + k)]

Best,

Matthieu

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