Error correction model coefficient standard errors - jcitest

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steve
steve 2014-1-21
回答： Lisa J. 2015-10-26
jcitest fits a vector error correction model in the mles output. But it does not appear to provide standard errors for the estimated coefficients. Is there a way to do this?
The only thing I can think of is to take the coefficient matrices from jcitest and use vectovar to convert them to a VAR model.
vgxvarx fits VARs and saves parameter standard errors.
[EstSpec, EstStdErrors] = vgxvarx(vgxar(Spec), Y, [], Y0);
However, this will not enable me to evaluate coefficient estimates in the error correction terms such the lagged differences.

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Lisa J.
Lisa J. 2015-10-26
I have the same question. Anyone is able to answer?

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