I would like to estimate a Cointegrated VAR (cointegrating rank=1) with
heteroscedasticity consistent standard errors using PcGive.
However, the outputs I am getting by PcGive are the same whether or not
I select "Additional output to be printed after
estimation">"Heterocedasticity consistent standard errors". Is this
right? Does PcGive calculate heteroscedasticity consistent standard
errors in cointegrated VARs? Could you please tell me how? Your help
would be of great value.
Márcio Laurini
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