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st: Running Vector Autoregressive Model with Robust Standard Errors
From
Clive Bartholomew Walker <[email protected]>
To
[email protected]
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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