Bewley Transformation: Single Equation ECM

[Cheryl]

Dear all,

I am running the following single equation ECM

d(y)=c(1)*(y(-1)-c(2)*x1(-1)-c(3)*x2(-1)-c(4)*x3(-1)-c(5)*x4(-1))+c(6)*d(x1)+c(11)*d(x1(-1))+c(13)*d(x2(-1))+c(15)

such that the coefficients c(2) to c(5) can be readily interpreted as the long run coefficients without further normalisation.

I am aware that the standard errors for the long run coefficients require the Bewley Transformation. What is the easiest way to do this? Are there any add-ins available for this?

Also, what does it mean if the long run coefficients in this equation differ significantly from those of the simple long run specification (1st step of Engle-Granger)? Is it a sign of misspecification?

Thank you very much. I look forward to your reply.