Hi,

I am using error correction coefficient obtained from the ECM model as one of the explanatory variables in the regression. How can I make appropriate correction in the standard errors I’ve obtained? Is there a method of estimation that would allow me to obtain unbiased estimates and appropriate standard errors? What is the best method to deal with this problem? Can you recommend any literature?

Is there any software – preferably R package – that can help my deal with this problem?

Thanks in advance.

Similar questions and discussions