我用的是Love的Panel-VAR，但是这个程序只允许endogenous variables。我想加入error-correction term，也就是exogenous variable, 从而使PVAR变成PVECM。我自己不会编程，请高人指教。以下是Love本人给我的邮件回复：“Hi, thanks for your message
Currently VAR treats all variables as endogenous. But you can tweak it to add exogenous variables manually. To do that, see how pvar.ado creates variable lists of global variables x y and z. Then, after they are created, you can manually insert the code into the pvar.ado to change them the way you want (i.e. add exogenous variables)”

谢谢大家！