This variable is:
- Exogenous – It can affect my other variables in the model, but they cannot affect it; the number of bitcoins increases as a diminishing rate (halves every 2 years) to a maximum of ~21m.
- I(0) – if I include a trend and controlling for the structural break, this is basically just a straight line.
So what we have here is linear trend. Now, this should be in my model and should (theoretically) affect the USD price in the long-run, but it can't form part of the long-term cointegrating relationship between my variables (Johansen tests find one such linear relationship), because it is I(0) and cannot "correct" any disequilibrium itself.
How would this be addressed in a VECM model?