You are basically trying to specify a VAR process in your exogenous variables. See [Model diagnostics command) for more on this. There is no general answer to your question. You have to decide how to specify this VAR-process.
You are basically trying to specify a VAR process in your exogenous variables. See [Model diagnostics command) for more on this. There is no general answer to your question. You have to decide how to specify this VAR-process.