Extract covariance matrix of VECM estimates

Rico Ihle
2011-04-20
2013-04-30
  • Rico Ihle
    Rico Ihle
    2011-04-20

    Has anybody an idea how to access/ to get the complete covariance matrix of the estimates of a restrcited VECM in JMulTi (particularly loading matrix and cointegration parameters)? Would be very grateful for a hint.

    Thanks a lot