AC consistent SUR
Posted: 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
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