Dear Allin,
Thanks for the reply. Now everything is clear ;-)
Best,
Henrique
2010/6/10 Allin Cottrell
>
> On Thu, 10 Jun 2010, Henrique Andrade wrote:
>
> > Sorry for the silly question, but how can we use HAC standard errors in a
> > VAR estimation? Why does Gretl give us the HC1 variant?
>
Dear Gretl Users,
Sorry for the silly question, but how can we use HAC standard errors in a
VAR estimation? Why does Gretl give us the HC1 variant?
Thnaks in advance,
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
Dear Gretl
On Thu, 10 Jun 2010, Henrique Andrade wrote:
> Sorry for the silly question, but how can we use HAC standard errors in a
> VAR estimation? Why does Gretl give us the HC1 variant?
It use HC* since the general presumption is that in a VAR you have
chosen a lag length sufficient to whiten the
