Re: [Gretl-users] VECM/VAR estimation using GLS
Am 24.02.2015 um 17:46 schrieb Daniel Bencik:
Dear forum,
I have a VECM, residuals of both equations show a correlation of
approx 0.55 - is there a way in gretl where I can estimate a VECM/VAR
using GLS so that I factor in the covar structure of residuals?
You already did, because for a VAR: GLS = OLS.
-sven