Folks,
  I have been working on VAR and VECM models and trying to simulate the results.

This is easy to do with a VAR model (in the "vars" package) as the covariance matrix is easily extracted.

Unfortunately I can't figure out how to do this with a VECM fit. 

I have used vec2var and created the matrices of coefficients on the lagged levels but I am unable to get the covariance matrix of the errors.

In the VAR model I use the following matrix to simulate into the future:
              unemp.l1    charges.l1 afford.l1     unemp.l2    charges.l2    afford.l2
unemp    0.75438541 -0.0196317870  1.216323 -0.438810574  0.0172960608 -4.619829202
charges  0.53544527 -0.2116682965 10.260630  0.605645192 -0.0028414949 -7.064256277
afford  -0.00626801  0.0009240125  0.430278 -0.005179754  0.0003161908 -0.007898937
             1.00000000  0.0000000000  0.000000  0.000000000  0.0000000000  0.000000000
             0.00000000  1.0000000000  0.000000  0.000000000  0.0000000000  0.000000000
             0.00000000  0.0000000000  1.000000  0.000000000  0.0000000000  0.000000000

Along with the covariance matrix that I get from summary(fit)$covres.

Is there an equivalent for VECM?

Thanks for your time,
KW



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