Thank you for your hint! I see that there was a thread discussing implementation of what I wanted to do (Newey-West standard errors in a VAR context), but that there is a conflict due to how the type = "const" is defined in the VAR command: https://stat.ethz.ch/pipermail/r-sig-finance/2009q2/004272.html that appears not to be resolved. Best, Marta
>>> "Pfaff, Bernhard Dr." <bernhard_pf...@fra.invesco.com> 2/17/2011 4:31 AM >>> Hello Marta, have you read ?coeftest and ? VAR carefully enough? The function does expect a lm/glm object for x as argument. Hence, the following does work: library(vars) data(Canada) myvar <- VAR(Canada, p = 2, type = "const") lapply(myvar$varresult, coeftest) Best, Bernhard > -----Ursprüngliche Nachricht----- > Von: r-help-boun...@r-project.org > [mailto:r-help-boun...@r-project.org] Im Auftrag von Marta Lachowska > Gesendet: Mittwoch, 16. Februar 2011 16:50 > An: r-help@r-project.org > Betreff: [R] VAR with HAC > > > 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 > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ***************************************************************** Confidentiality Note: The information contained in this ...{{dropped:14}}
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