[Gretl-users] Re: VECM long-run impact matrix
On 13/09/2025 14:52, Artur T. wrote:
Hi all,
I would like to retrieve the long-run impact matrix, called "C" in
Johansen's jargon.
After estimating a vecm, there is item "C". Is this object the matrix
I am looking for (I could not find anything in the docs)?
No, that's the Cholesky factor of the residual covariance matrix.
Furthermore, in a recent paper by Juselius, she reports standard
errors for C. Is this information also stored in the system bundle?
That matrix is referred to with different letters in different sources.
For example, Kilian & Lütkepohl use the letter $\Xi$. Its calculation is
not very difficult, given the information contained in the $system
bundle you get out of the "vecm" command. Its asymptotic distribution,
however, is a bit more intricate. It was derived by Paolo Paruolo in
https://www.jstor.org/stable/pdf/3532701.pdf., but you can also find it
in Søren's 1995 OUP book (section 13.5).
A function package doing all this would be very welcome 😉
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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