Error correction model coefficient standard errors - jcitest

jcitest fits a vector error correction model in the mles output. But it does not appear to provide standard errors for the estimated coefficients. Is there a way to do this?

The only thing I can think of is to take the coefficient matrices from jcitest and use vectovar to convert them to a VAR model.

vgxvarx fits VARs and saves parameter standard errors.

[EstSpec, EstStdErrors] = vgxvarx(vgxar(Spec), Y, [], Y0);

However, this will not enable me to evaluate coefficient estimates in the error correction terms such the lagged differences.

Answer 1

[Lisa J.]

I have the same question. Anyone is able to answer?