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Also, when exchanging some variables, I get the error message with cross terms saying: "Positive or non-negative argument to function expected". Can somebody tell me what that means?

Thanks a lot!

Hi everyone, when estimating my VAR, the White test with and without cross terms give contradictory results. Here are my tables: Including Cross terms: VAR Residual Heteroskedasticity Tests (Includes Cross Terms) Date: 09/19/19 Time: 11:55 Sample: 2006M03 2019M03 Included observations: 144 Joint tes...

Hi everyone, Should I use the Portmanteau test or the LM test to check for autocorrelation in the residuals in a VAR model? All my variables are stationary and even playing around with the lags won't change the results. AIC, FRE and LR all suggest 5 lags. I am working with monthly series and I have ...

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 th...

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...