On Fri, 24 Aug 2007, Franck Nadaud wrote: > I would like to know if it is possible in system estimation to recover all the > coefficients and standards errors, because i have to compute the AIDS > elasticities. >
At the moment, it isn't. However, it should be rather simple to have the $coeff accessor work for systems the way $uhat does now. A further problem may arise with the parameter covariance matrix, since $vcv is already "taken" by the residuals covariance matrix. Allin, it may be a good idea to use $sigma (unused in a system/VAR/VECM context) for the residuals covariance and divert $vcv to the parameters covariance matrix. This would also make the use of accessors more consistent across single equation/multiple equations methods. What do you think? Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti
