VAR using GMM

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Ales
Posts: 8
Joined: Tue May 24, 2016 3:51 am

VAR using GMM

Postby Ales » Tue May 24, 2016 4:55 am

Hello,
I created a VAR model with 4 variables for my thesis, however i need to correct for autocorrelation and heteroskedasticity. I've read that the best way to do it is using Newey-West HAC, which, from what I have read, I can use only if I create my VAR model through GMM. The problem is that I have no idea on how to do it. Could you please tell me how to create the VAR model through GMM and please could you describe it like I am an idiot (tell me exactly what to fill in in each field) as my knowledge of EViews and statistics is very limited?

Many thanks,

Ales
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Ales
Posts: 8
Joined: Tue May 24, 2016 3:51 am

Re: VAR using GMM

Postby Ales » Thu May 26, 2016 12:56 am

someone knows how to do this please? I can't continue working on my thesis until I solve this :(
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