[R] coeftest with covariance matrix

[alfonso.carfora at uniparthenope.it]

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)