Hetroskelasticity in VAR model
Posted: Tue Mar 22, 2016 5:38 am
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
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