Hi all,
I want to ask you which is the difference between the specifyng and not specifyng the covariance matrix of the estimated coefficients when performing the coeftest command.
I'm estimating a VECM model and I want to test the significance of the short-run casual effects of the explanatory variables:
mod<-cajorls(ca.jo(data[,4:6], ecdet = "const", type="eigen", K=2, spec="longrun"))$rlm
The command: coeftest(mod) give me different results with respect to this one: V<-vcovHC(mod) coeftest(mod,V) ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see 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.
