How do I estimate Newey West Standard Errors for a VAR in Eviews?

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titzaaa
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How do I estimate Newey West Standard Errors for a VAR in Eviews?

Postby titzaaa » Tue Sep 17, 2019 11:24 am

I have heteroskedasticity issues and also some autocorrelation issues in my VAR and wanted to include Newey West Standard Errors. However, I do not find a way to conduct this in Eviews.
I am a super beginner and prefer the click options, which means I did not work with coding so far.
Is there a step-by-step way for me to include Newey West errors in a VAR?

Thanks a lot for your support!

Best,
Franziska

EViews Gareth
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Re: How do I estimate Newey West Standard Errors for a VAR in Eviews?

Postby EViews Gareth » Tue Sep 17, 2019 11:38 am

There is nothing built in that will do it.
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startz
Non-normality and collinearity are NOT problems!
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Re: How do I estimate Newey West Standard Errors for a VAR in Eviews?

Postby startz » Tue Sep 17, 2019 12:59 pm

Since a VAR is just a set of ols regressions, you can just run each of the regressions and choose Newey-West standard errors.

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Re: How do I estimate Newey West Standard Errors for a VAR in Eviews?

Postby EViews Gareth » Tue Sep 17, 2019 1:06 pm

startz wrote:Since a VAR is just a set of ols regressions, you can just run each of the regressions and choose Newey-West standard errors.


But you'll miss out on all the juicy VAR goodness, like impulse responses
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startz
Non-normality and collinearity are NOT problems!
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Re: How do I estimate Newey West Standard Errors for a VAR in Eviews?

Postby startz » Tue Sep 17, 2019 1:09 pm

EViews Gareth wrote:
startz wrote:Since a VAR is just a set of ols regressions, you can just run each of the regressions and choose Newey-West standard errors.


But you'll miss out on all the juicy VAR goodness, like impulse responses


First you run using the VAR object. That gets you the juicy stuff. Then run OLS to get the standard errors. That gets you [some clever metaphor here].

titzaaa
Posts: 5
Joined: Mon Sep 16, 2019 8:58 am

Re: How do I estimate Newey West Standard Errors for a VAR in Eviews?

Postby titzaaa » Wed Sep 18, 2019 4:27 am

Hi everyone,
thanks a lot for your help!
So step-by-step:
I first estimate my VAR and define my lag length there right?
Then I go into the single regressions.
But where do I perform all my heteroscedasticity, non-normality and autocorrelation tests? Meaning, how do I get my robust standard errors then back into the VAR to do all these tests?
And when do I run my Impulse response and error variance?

Hope not to be confusing :D

Best,
Franziska

startz
Non-normality and collinearity are NOT problems!
Posts: 3497
Joined: Wed Sep 17, 2008 2:25 pm

Re: How do I estimate Newey West Standard Errors for a VAR in Eviews?

Postby startz » Wed Sep 18, 2019 4:59 am

You can run your tests in the ols regression. I don't think there is a way to get them back into the VAR.

But let me point out that we usually put enough lags in a VAR that there isn't any serial correlation left, which is the main reason for using Newey-West standard errors.


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