[R] standard errors in johansen test

vitaliano.barberio vitaliano.barberio at gmail.com
Sat Dec 29 21:56:56 CET 2012


Hi,
I have the very same problem of this here 
http://grokbase.com/t/r/r-help/111d386yn9/r-standard-errors-in-johansen-test,
I replicated all the steps in the Papar: 
http://cran.r-project.org/web/packages/vars/vignettes/vars.pdf
untill here:

R> vecm <- ca.jo(Canada[, c("rw", "prod", "e", "U")], type = "trace",
+ ecdet = "trend", K = 3, spec = "transitory")
R> vecm.r1 <- cajorls(vecm, r = 1)

then I obtained the standard errors for the loading factors (alphas) 
with this command:

 > summary(vecm.r1$rlm)

How do I get the equivalent for the betas?
in the paper (pg. 25 tab.5) 
http://cran.r-project.org/web/packages/vars/vignettes/vars.pdf
these standard errors are used to assess the significance of the 
cointegration factors ... this is what I need to do.
could anyone help with this?

thanks in advance,
vitaliano



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