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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