VAR Model with Newey West Standard Errors
显示 更早的评论
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.
回答（0 个）
类别
在 帮助中心 和 File Exchange 中查找有关 Multivariate Models 的更多信息
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!
Translated by 
