Search found 2 matches

by schteeke1
Mon May 08, 2017 11:30 am
Forum: Econometric Discussions
Topic: Bayesian VAR forecasting
Replies: 0
Views: 2977

Bayesian VAR forecasting

Hello, I am forecasting the interest rate using normal VAR models and Im gonna compare the results (or improve) to Bayesian VAR models (litterman/minnesota prior). The variables im using is the interest rate (levels), inflation (annual change), the spread between long and short interest rates, the o...
by schteeke1
Mon May 08, 2017 10:51 am
Forum: Estimation
Topic: Heteroskedasticity in VARs
Replies: 1
Views: 2562

Heteroskedasticity in VARs

Hello, does Eviews use robust standard errors when estimating VARs (adjusting for heteroskedasticity)?
I have never seen any "button" allowing for this.

Thanks in advance.

Go to advanced search