VAR assumptions
Posted: Mon May 03, 2010 4:19 am
have a small quastion about VAR models that i can not find on books or internet.
I am running a VAR model using a panel data approach. I would like to test the attendibility of my model and therefore I am intending to test the 6 assumptions of OLS method. My question is, does this procedure is correct? I think VAR uses MLS method, are the OLS assumptions still consistent?
best regards
I am running a VAR model using a panel data approach. I would like to test the attendibility of my model and therefore I am intending to test the 6 assumptions of OLS method. My question is, does this procedure is correct? I think VAR uses MLS method, are the OLS assumptions still consistent?
best regards