[R] A question about cointegration - How can we find the standard deviation in the cointegration relationship ?

miao miaojpm at gmail.com
Sun Jan 15 16:08:49 CET 2012


   I am using urca package to run cointegration. I would like to find the
standard error in the (normalized, Johansen) cointegration relationship. How
can I do it? 

   As far as I know, The function "cajorls" in the "urca" package provides
the normalized cointegrating relationships. Nevertheless, it does not
provide the standard deviation of the coefficient for each variable in the
relationship. E-View does it. 

   If anyone can provide the info or some example codes regarding this
issue, that would be highly appreciated.



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