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Thanks again, Now say that I can remove the autocorrelation if I add more lags (which should not be to much of an issue given my rather large # of observations I think). Is it then possible to compensate the standard errors only for heteroskedasticity (i.e. use White heteroskedasticity-robust standa...

Thanks for the quick reply, Is there any solution to this problem with a workaround in that case? I have seen some papers where is stated that they use the Newey-West corrected standard errors when dealing with heteroskedastic and/or autocorrelated VAR residuals.. I am kind of stuck on this, so any ...

Hi All, I am currently trying to estimate a VAR with 3 variables (and suggested is roughly 20 lags), but have found out that I need to correct for heteroscedasticity and preferrably also for autocorrelation between my error terms. The dataset(s) contain over 20000 obs. I am using Eviews 6. (if an ea...