AC consistent SUR

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AC consistent SUR

Postby remuct » Sun Feb 25, 2024 7:18 pm

Hi,
I am running a SUR system of multiple equations where the residuals appear to be autocorrelated. Is there a way of performing SUR with, say, Newey-West adjusted covariance estimation so that my coefficient covariance estimators are autocorrelation consistent?
Thank you

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