Estimation of VAR with GLS instead of OLS

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Florian
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Joined: Thu Aug 11, 2011 7:03 am

Estimation of VAR with GLS instead of OLS

Postby Florian » Thu Aug 11, 2011 7:06 am

Hello,

being relatively new to EViews I have a question concerning the estimation of a vector autoregression. Specifically, I am trying to run a normal VAR using the interface but want it to estimate with GLS and hence taking into account possible heteroskedasticity issues. Is there any way that this is easily possible or will I need to write a program for that? I am thankful for any support.

Florian
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Estimation of VAR with GLS instead of OLS

Postby EViews Gareth » Thu Aug 11, 2011 7:50 am

There is nothing built in to do it.
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