This is my first post to this list. Thanks for reading.
I am interested in doing repeated simulations with the either the coint2 or
vecm command to create a distribution of, say, the beta cointegrating
vectors in order to compare them to a theoretical value. In order to do this
several thousand times I obviously need a way to access the values that
coint2 or vecm outputs and save them into a matrix or series, but I can't
seem to find any $accessors to pull this information out. $uhat following
coint2 produces a matrix of residuals, but that's not quite what I'm after.
I'd really like the beta, alpha, renormalized beta, renormalized alpha, and
the long-run matrix.
Any help would be greatly appreciated.