[Gretl-users] VECM long-run impact matrix

[Artur T.]

Hi all,

I would like to retrieve the long-run impact matrix, called "C" in 
Johansen's jargon.

After estimating a vecm, there is item "C". Is this object the matrix I 
am looking for (I could not find anything in the docs)?

Furthermore, in a recent paper by Juselius, she reports standard errors 
for C. Is this information also stored in the system bundle?


Here is an example to what I refer to:

<hansl>
set verbose off
open denmark

vecm 2 2 LRM LRY IBO IDE --rc --quiet

bundle b = $system
print b.C
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