Search found 2 matches
- 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...
- 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.
I have never seen any "button" allowing for this.
Thanks in advance.
