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 _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users