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VAR Heteroskedasticity-consistent standard errors
Posted: Thu Sep 09, 2010 2:47 am
by comac
Dear all,
is there some code for computing heteroskedasticity-consistent standard errors for a VAR system?
Thanks in advance,
C.
Re: VAR Hetreskodasticity-consistent standard errors
Posted: Thu Sep 09, 2010 11:09 am
by TomDoan
Use SUR with the ROBUSTERRORS option as is shown below:
Code: Select all
system(model=varmodel)
variables dinv dinc dcons
lags 1 2
det constant
end(system)
estimate(sigma,resids=resids)
sur(model=varmodel,robust)
Re: VAR Heteroskedasticity-consistent standard errors
Posted: Thu Sep 03, 2015 12:17 am
by ying2728
In the following SUR:
system(model=varmodel)
variables dinv dinc dcons
lags 1 2
det constant
end(system)
estimate(sigma,resids=resids)
sur(model=varmodel,robust)
If each equation uses different different indep var: e.g.,
dinv = constant dinv(-1)
dinc = constant dinc(-1)
dcons = constant dcons(-1)
How can I do it? Thanks.
Re: VAR Heteroskedasticity-consistent standard errors
Posted: Thu Sep 03, 2015 9:06 am
by TomDoan
Isn't that what SUR.RPF does? In general, SUR is used when the equations aren't the same.