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