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would it be possible to apply Johansen Cointegration Test for a VAR-GARCH model in Eviews? If yes, how should I go about it? Thanks.

I would like to remove statistically insignificant variables from my model’s equation but I could only do so if the residuals are clean ie. no autocorrelation and heteroskedasticity. Am I able to conduct the significance analysis if I will to use Newey West estimator to “clean up” my residuals? Than...