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st: Heteroskedasticity-consistent standard errors for a VAR


From   Katia Bobulova <katia.bobulova@googlemail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Heteroskedasticity-consistent standard errors for a VAR
Date   Sat, 8 Sep 2012 22:59:19 +0200

Dear All,

I would like to perform a VAR with White standard errors. I found many
references on how to do in RATS, Eviews and SAS but I was unable to
find any reference for Stata.

I tried to write something like this:

var xt rt, exog(zt  D) lags(1/9) noconstant vce(robust)

but it does not work.

Could you please help me?

Thanks a lot,
Katia
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