Re: [Gretl-devel] $vcv in vecm

On Thu, 7 Jan 2010, Sven Schreiber wrote: > Allin Cottrell schrieb: >> The only "missing" accessor is $vcv for VECMs. That's because >> I don't know what to do about the covariance block for \beta >> and the other coefficients. >> > > Well what one *could* do is to treat the error-correction terms > as given due to the super-consistency (T-convergence) of the > cointegration coefficients, and then the remaining system is > just multi-equation OLS. OK, I've added $vcv for VECMs on that basis. However, we don't attempt it at present if \alpha is restricted.