It use HC* since the general presumption is that in a VAR you have
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?
chosen a lag length sufficient to whiten the residuals, so HAC is
redundant.
Allin Cottrell
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