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st: Running Vector Autoregressive Model with Robust Standard Errors


From   Clive Bartholomew Walker <clivewalker2003@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Running Vector Autoregressive Model with Robust Standard Errors
Date   Thu, 23 Sep 2010 09:32:59 +0100

Hi- this is my first post so apologies if it is covered elsewhere but I am trying to run a VAR model with robust standard errors or Newey West robust standard errors and am wondering can this be done in Stata?

I have been running the individual components of the VAR system of equations as simple OLS regressions with Newey West RSEs but the lag length selection seems wrong when I do that.


Any help much appreciated.

Clive
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