jcicontest autoregressive matrices standard errors

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Tommaso Colozza
Tommaso Colozza 2017 年 10 月 27 日
I am estimating a cointegrating relationship using the routine jcicontest. I can infer as an output the autoregressive matrices of the VEC form. How can i get standard errors of such coefficients in order to infer the significance of such paramters?

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