VEC model estimation with constant both in the VAR and in the long-term relationship

[Mateo Córdoba Toro]

Cordial greeting,

I have tried to estimate a VEC with constant both in the long-term relationship and in the var, but when I specify it in the VECM function of the package it seems to only take one of the two specifications.

vec <- VECM (data, lag, r = 1, include = "const", estim = "ML", LRinclude = "const")  

I wanted to know if there is any way I can estimate it.

I would appreciate your answer.

[Matthieu S]

Hi Mateo

I might be wrong on that but, are you sure such a model is identified?

 

Best,

Matthieu

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[Matthieu Stigler]

Hi Mateo

Someone else asked the same question on the Github issue, let's follow-up on this question there?

https://github.com/MatthieuStigler/tsDyn/issues/25

Best,

Matthieu