Re: [Gretl-devel] $vcv in vecm
On Sat, 2 Jan 2010, Sven Schreiber wrote:
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.
Accessing $vcv has never been implemented for VECMs, and I
wouldn't know how to do it. You can use $jvbeta to get the
covariance of the \beta estimates.
Allin.