Heteroskedasticity-Robust F Statistic

Questions and discussions on Vector Autoregressions
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luxu1983
Posts: 61
Joined: Wed Aug 12, 2009 10:53 pm

Heteroskedasticity-Robust F Statistic

Unread post by luxu1983 »

dear Tom
if in the VAR model, the residuals exist Heteroskedasticity, how to calculate the Heteroskedasticity-Robust F Statistic
thank you very much
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Heteroskedasticity-Robust F Statistic

Unread post by TomDoan »

Estimate an equation by LINREG with ROBUSTERRORS, then use EXCLUDE to do the test.
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