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differencing and coint rank in VECMX

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differencing and coint rank in VECMX

Hi,

I'm estimating VECMX(5,5) and all variables are nonstationary.

I  understand that when I estimate VECM, the (all the endogenous) variables are not differenced.

But for VECMX, should I difference x variables before I estimate? or, like vecm, just use the original version of all the variables?

For cointegration rank, should I check the rank only for engodenous variables or for all the variables?

Also, does anyone know how to restrict AR coefficient of VECM? can I restrict just one coeffficient, say, ar(0,4,2)=0, in restricting H in VECM?

Thanks in advance! Happy new year.

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