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
How do I estimate Newey West Standard Errors for a VAR in Eviews?
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Re: How do I estimate Newey West Standard Errors for a VAR in Eviews?
There is nothing built in that will do it.
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Re: How do I estimate Newey West Standard Errors for a VAR in Eviews?
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?
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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Re: How do I estimate Newey West Standard Errors for a VAR in Eviews?
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].
Re: How do I estimate Newey West Standard Errors for a VAR in Eviews?
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
Best,
Franziska
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
Best,
Franziska
-
- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: How do I estimate Newey West Standard Errors for a VAR in Eviews?
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.
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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