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st: Heteroskedasticity-consistent standard errors for a VAR
From
Katia Bobulova <[email protected]>
To
statalist <[email protected]>
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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