[R] Standard Error for Cointegration Results

From: Kin Ming Wong <naba9_ming_at_hotmail.com>
Date: Mon, 04 Apr 2011 01:01:39 +0800

Dear Sir/Madam,  

I have used ca.jo in urca package to identify the cointegration and cajorls to estimate the vecm. Althought both return the coefficients for long run relationship (or ect1 in cajorls), I am unable to find the standard error and t statistics.  

I spend some weeks to search around. I did find some similar enquiries before and answer provided Prof. Pfaff is to use vec2var. However, I still can't find corresponding info. after using vec2var function. Highly appreciate if someone could advise by using a step by step with codes. For example, in the paper of ""VAR, SVAR and SVEC Models: Implementation Within R Package vars", how to get the t-statistics / standard error for the beta in table 5, p.25?  

Thank you in advance for your effort in addressing my problem.  


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