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st: From: Pongkhi Bujorbarua <[email protected]>
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st: From: Pongkhi Bujorbarua <[email protected]>
Date
Mon, 23 Jan 2012 20:24:15 -0800
Hi All
Had a question on the VAR model in Stata. Is it possible to obtain
Newey-West standard errors using Stata's VAR.
I read the documentation and it does not appear so. VAR uses reg3
which used SUREG and none have any standard error correction. However,
I wanted to check if someone has some code to share.
Thank you
Abhi
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