Re: [Gretl-users] Activating HAC does not work
On Tue, 26 Apr 2011, Sven Schreiber wrote:
I tend to think it should be _possible_ to use HAC with VARs for
demonstration purposes, even if it may not be wise to use them for real
applications.
The robust default should probably be the "wise" one, i.e. HC but not
HAC. However, there may also be a case to treat all time-series models
alike, as you mention.
I agree with Sven. Besides, it is entirely possible that you have
heteroskedasticity in a well-specified VAR, so some form of adjustment may
be necessary after all.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti