Estimation of VAR with GLS instead of OLS
Posted: Thu Aug 11, 2011 7:06 am
Hello,
being relatively new to EViews I have a question concerning the estimation of a vector autoregression. Specifically, I am trying to run a normal VAR using the interface but want it to estimate with GLS and hence taking into account possible heteroskedasticity issues. Is there any way that this is easily possible or will I need to write a program for that? I am thankful for any support.
Florian
being relatively new to EViews I have a question concerning the estimation of a vector autoregression. Specifically, I am trying to run a normal VAR using the interface but want it to estimate with GLS and hence taking into account possible heteroskedasticity issues. Is there any way that this is easily possible or will I need to write a program for that? I am thankful for any support.
Florian