HAC test on a VAR model

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HAC test on a VAR model

Postby sofp » Tue Jul 19, 2016 1:54 pm


I'm running an unrestricted VAR with lag length 1. When I test for heteroskedasticity of the residuals I'm failing to reject the null. Thus, I have a problem of heteroskedasticty. I was wondering if I can correct this problem with a similar test such as the HAC test. However, HAC it's not performable on VAR models. So, I was wondering if you can suggest me something. Also when I'm testing if residuals are normal I get all p-values equal to zero. I don't understand why and witch might be the problem.

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Re: HAC test on a VAR model

Postby trubador » Wed Jul 20, 2016 1:41 am

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Joined: Tue Nov 24, 2015 4:57 pm

Re: HAC test on a VAR model

Postby dakila » Wed Jul 20, 2016 2:35 pm

It depends on your research. There is very good blog. It answers your question.
http://davegiles.blogspot.com.au/2012/0 ... g.html?m=1

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