Re: [R] VAR with HAC

2011-02-17 Thread 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: > > &

Re: [R] VAR with HAC

2011-02-17 Thread Pfaff, Bernhard Dr.
ot;, package = "sandwich") <> Best, Bernhard Von: Marta Lachowska [mailto:ma...@upjohn.org] Gesendet: Donnerstag, 17. Februar 2011 17:01 An: Pfaff, Bernhard Dr.; r-help@r-project.org Betreff: Re: AW: [R] VA

Re: [R] VAR with HAC

2011-02-17 Thread Pfaff, Bernhard Dr.
est, 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

[R] VAR with HAC

2011-02-16 Thread Marta Lachowska
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 ar