VAR using GMM
Posted: 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
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