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- Thu Aug 26, 2010 4:08 am
- Forum: Estimation
- Topic: Seemingly Unrelated Regressions and robust covariance matrix
- Replies: 23
- Views: 31349
Re: Seemingly Unrelated Regressions and robust covariance matrix
I have a related questions to these posts. I'm running a VAR with 5 variables and 2 lagged values. Is there a particular reason eviews can't just estimate via OLS using a HAC estimator? If I run the VAR equation by equation with a HAC estimator i get the same coefficients but slightly different stan...