VAR Model with Newey West Standard Errors

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AU
AU 2021-9-27
编辑： AU 2021-10-1
I found heteroskedasticity and serial correlation among the residuals of my vector autoregression model. I cannot increase the lag size as the serial correlation persists up to a high number of lags and the model would not be interpretable anymore with such a high number of lags. Is there any method to get Newey West standard errors in a VAR object? I already created all the regressions separately but then I cannot use the impulse response and granger causality functionalities anymore. Any help is deeply appreciated.

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