Heteroskedacity in VECM Model. How to include robust s.error

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Alaska21
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Joined: Tue May 21, 2013 8:42 am

Heteroskedacity in VECM Model. How to include robust s.error

Postby Alaska21 » Tue May 21, 2013 8:49 am

Hi,

the standard errors in my VECM Model are not normaly distributed. Unfortunatly I do not know how to include robust standard errors into my estimation. I am relative new to eviews and would appreciate any help!

Thanks!
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EViews Gareth
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Re: Heteroskedacity in VECM Model. How to include robust s.e

Postby EViews Gareth » Tue May 21, 2013 8:54 am

EViews does not have robust SEs for VECs built in.
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Alaska21
Posts: 5
Joined: Tue May 21, 2013 8:42 am

Re: Heteroskedacity in VECM Model. How to include robust s.e

Postby Alaska21 » Tue May 21, 2013 8:57 am

Does that mean that I have no way of correcting it?

Thanks for your reply!
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EViews Gareth
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Re: Heteroskedacity in VECM Model. How to include robust s.e

Postby EViews Gareth » Tue May 21, 2013 9:02 am

Not using a built in method.
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Alaska21
Posts: 5
Joined: Tue May 21, 2013 8:42 am

Re: Heteroskedacity in VECM Model. How to include robust s.e

Postby Alaska21 » Tue May 21, 2013 9:05 am

How uselfuls is my estimation despite this? I am still unbiased arent I?

Thanks!
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