HAC test on a VAR model
Posted: Tue Jul 19, 2016 1:54 pm
Hi,
I'm running an unrestricted VAR with lag length 1. When I test for heteroskedasticity of the residuals I'm failing to reject the null. Thus, I have a problem of heteroskedasticty. I was wondering if I can correct this problem with a similar test such as the HAC test. However, HAC it's not performable on VAR models. So, I was wondering if you can suggest me something. Also when I'm testing if residuals are normal I get all p-values equal to zero. I don't understand why and witch might be the problem.
Thanks.
I'm running an unrestricted VAR with lag length 1. When I test for heteroskedasticity of the residuals I'm failing to reject the null. Thus, I have a problem of heteroskedasticty. I was wondering if I can correct this problem with a similar test such as the HAC test. However, HAC it's not performable on VAR models. So, I was wondering if you can suggest me something. Also when I'm testing if residuals are normal I get all p-values equal to zero. I don't understand why and witch might be the problem.
Thanks.