Re: [Gretl-users] VECM estimation
On Wed, 30 Aug 2006, Riccardo Jack Lucchetti wrote:
I've modified the code for vecm estimation (patch attached,
Allin) so to enable the user to retrieve the covariance matrix
of the estimated beta (after triangular normalisation), which
is NOT trivial to compute. This makes it possible to compute
Wald tests on cointegration vectors, JMulTi style (but see
below).
Nice, I'm applying the patch. I'll take a look at the comparison
issue with JMulTi before long.
Allin.