Re: [Gretl-users] VAR: Robust standard errors

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 residuals, so HAC is redundant. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users