Hello, I am using urca package to run cointegration. I would like to find the standard error in the (normalized, Johansen) cointegration relationship. How can I do it?
As far as I know, The function "cajorls" in the "urca" package provides the normalized cointegrating relationships. Nevertheless, it does not provide the standard deviation of the coefficient for each variable in the relationship. E-View does it. If anyone can provide the info or some example codes regarding this issue, that would be highly appreciated. Thanks, miao -- View this message in context: http://r.789695.n4.nabble.com/A-question-about-cointegration-How-can-we-find-the-standard-deviation-in-the-cointegration-relations-tp4297040p4297040.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
