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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

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.

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...