Hello,
I would like to estimate a VAR model with HAC corrected standard errors. I
tried to do this by using the sandwich package, for example:
> library(vars)
> data(Canada)
> myvar = VAR(Canada, p = 2, type = "const")
> coeftest(myvar, vcov = vcovHAC)
Error in umat - res : non-conformable arrays
Which suggests that this function is not compatible with the VAR command. Has
anyone tried to modify the code to get HAC corrected standard errors with VAR?
Any suggestions are welcome.
Thank you.
Marta
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