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italiano
2011 Jan 13
2
standard errors in johansen test
Dear all,
I have a question. How to get the standard errors of alpha and beta
when using "ca.jo" to test cointergration?
In the paper by Bernhard Pfaff and Kronberg im Taunus “VAR, SVAR and SVEC
Models: Implementation Within R Package” pp.24-25. The standard errors are
listed on the table 5 following the code:
R> vecm.r1 <- cajorls(vecm, r = 1)
I tried this in my Mac R, but