I found the following posts interesting and I was wondering if any of you guys know of good academic papers that describe methods/relationships of exogenous variables in VECM models. If so could you kindly point them out to me as I am very interested in learning. Thank you.
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@user4338, as I've said in the answer to one of the questions you link, there is nothing fancy in using exogenous variables in VECM. If they really are exogenous with asymptotically bounded variance (no time trends) then they can be treated as dummy variables. – mpiktas Apr 27 '11 at 07:11
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@mpiktas - thank you for the comment. I am digging deeper. – algotr8der May 04 '12 at 12:34