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.