[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 ar

Re: [R] VAR with HAC

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