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| 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/