VAR Heteroskedasticity-consistent standard errors

[comac]

Dear all,
is there some code for computing heteroskedasticity-consistent standard errors for a VAR system?

Thanks in advance,
C.

[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)

[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.

[TomDoan]

Isn't that what SUR.RPF does? In general, SUR is used when the equations aren't the same.