KPSW4.RPF (from King, Plosser, Stock and Watson AER 1991) does Monte Carlo integration on a VECM with long-run restrictions. BQ itself isn't that interesting since if you have a two-variable VECM, if one variable has a long-run 0 restriction, the other has to as well.
carljames wrote:I was actually having a hard time to determine the who permanete shock originates from, but it seems that you can't, huh?! Honestly, it's a little confusing
That's correct. The BQ restriction actually identifies the transitory shock---the permanent shock is whatever is orthogonal to that. You would need a more structural model than a simple VECM to identify the source of the permanent shock.