statsmodels.tsa.vector_ar.vecm.VECMResults.stderr_coint

method

VECMResults.stderr_coint()

Standard errors of beta and deterministic terms inside the cointegration relation.

Notes

See p. 297 in [1]. Using the rule

\[vec(B R) = (B' \otimes I) vec(R)\]

for two matrices B and R which are compatible for multiplication. This is rule (3) on p. 662 in [1].

References

1(1,2,3)

Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.