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Hello,

I am running a rolling window VECM model and would like to save the cointegrating vectors.

At the moment this is what I am doing here, {xd} is the deterministic term, {xr} is the rank order, and {xl} is the optimal lag order, all these are matrix elements.
As you can see, I am using freeze to save cointegrating vectors from tables, but this is much inefficient method. Is there a function other than freeze that can be used to save cointegrating vectors?

Thanks

Code: Select all

ecm.@cointvec

wow, thanks Gareth, will this save the standard errors of the coefs too?
Thanks!

http://www.eviews.com/help/helpintro.ht ... ar.html%23

Scroll down to the Data Members entry near the bottom.

Ahhh, spent a few hours trying different ways, should have scrolled down instead of leaving that page.

Thanks!