Hetroskelasticity in VAR model

[samewing7]

Hello,

I am trying to create a 5 variable VAR model. However, although there is no autocorrelation, when I perform white tests on my model hetroskelaticity is present.

My data is all I(0) and I do not want to increase the lags as this will cause the problem of overfitting as I only have 75 observations.

What would you suggest?

Sam

[dakila]

Hi Sam,

It depends on your research. If you gonna do impulse response analysis, do not worry about heteroskedasticity problem.