Distribution of Coefficients in Cointegration Vector

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fmgoto
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Joined: Thu Jan 15, 2009 5:01 am
Location: Brasilia, Brazil

Distribution of Coefficients in Cointegration Vector

Postby fmgoto » Mon Sep 20, 2010 2:12 pm

Does anyone know which distribution (I guess t) and with how many degree of freedom (Entire VAR? Including error correction coefficients? Just the level equation?) does the coefficients of the cointegration vector follows in a VECM? I need to calculate the p-value for these coefficients... Thanks in advance, Fabio
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