[Gretl-users] VECM estimation

[Allin Cottrell]

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.