[R] coeftest with covariance matrix

alfonso.carfora at uniparthenope.it alfonso.carfora at uniparthenope.it
Thu Mar 16 22:03:08 CET 2017

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,  

The command:


give me different results with respect to this one:


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