In gretl git, I've added a couple of elements to the vecm_info bundle
inside the $system bundle that can be retrieved after estimation of a
cointegrated VAR.

* "Gamma": the matrix formed as (identity matrix minus the summation
of the per-lag \Gamma_i matrices in the short-run dynamics) -- see
Johansen (1995) page 45 -- and

I'm not sure that Gamma is the best name for this object in this context. The reason is that we already have a $system.Gamma object in the non-VAR/non-VECM multiple-equ-system context, which is something completely different. (And for completeness: is equal to $sysGamma.) Room for confusion, I'd say!

Also, I think that the matrix I - \sum_i \Gamma_i can be constructed already with the help of the orphaned $vecGamma accessor which holds these \Gamma_i. This doesn't mean that it wouldn't be helpful to have it pre-computed. But I think it would be good to also have $vecGamma available inside the $system bundle (in the vecm case); perhaps as a matrices array instead of a side-by-side matrix.

* "JC": the matrix that Johansen refers to as 'C' (and that Artur was
interested in), namely C = \beta_{\perp} (\alpha_{\perp}' \Gamma
\beta_{\perp})^{-1} \alpha_{\perp}' (1995, page 49).

I don't have a very strong feeling about the name, but before this is fixed forever: we have $jalpha and $jbeta with a lowercase j. So should it be JC or jC?

Besides, inside the vecm_info subbundle the jalpha equivalent appears just as Alpha, and jbeta as Beta. So maybe don't have the "J" there at all and rather use a more explicit name like "longrunC" or so?

I'd appreciate it if anyone can check the correctness of these
results! In particular I'm assuming that when \beta has more rows than
\alpha (because some deterministic and/or exogenous terms are
restricted to the cointegration space), the "beta" that enters the
"JC" formula should just be the first p rows of what we're calling
beta in gretl (where p is the number of endogenous variables).
Otherwise the formula Johansen gives for C doesn't work.

Yes; IIRC in many notations the extended beta was called beta-star, and beta itself then always just had nelem($ylist) rows, so it worked.

cheers

sven