Vector models and HAC

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fboehlandt
Posts: 83
Joined: Thu Apr 15, 2010 3:54 am

Vector models and HAC

Postby fboehlandt » Wed Apr 13, 2011 2:53 am

Hi everyone,
it is my understanding that VARs and VECMs use OLS in estimating the coefficients. I was wondering if it is possible to prompt HAC-consistent error estimates? Does anybody have a (partially) completeted script that does that?
regards
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Vector models and HAC

Postby EViews Gareth » Wed Apr 13, 2011 7:59 am

If all you want are the HAC standard errors per equation, then, of course, for a simple VAR you can estimate each equation separately in an equation object and use HAC standard errors there.
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fboehlandt
Posts: 83
Joined: Thu Apr 15, 2010 3:54 am

Re: Vector models and HAC

Postby fboehlandt » Wed Apr 13, 2011 10:33 am

To verify: I basically estimate the equation as a VECM and then estimate each of the resulting OLS equations using HAC error estimates. Should have realized beforehand that this is the way to go...
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