The last command related to $vcv produces an error in the following script:
open denmark
vecm 3 1 LRM LRY; IDE(-1); IBO(-1) --crt
matrix sigmamat = $sigma
matrix omegamat = $vcv
According to the log of backward-incompatible changes (a very useful log
I must say... ;-):
"6/12/2008 Version 1.7.5 ... In the case of VARs/VECMs, $vcv formerly
referred to the cross-equation covariance of the residuals. Now $sigma
is used forthat purpose; $vcv gets the variance of the coefficients,
which was not previously accessible."
Don't know whether it has always been broken since then, though.
thanks,
sven