Date: Tue, 14 Apr 2009 02:20:51 -0700
Reply-To: priyanka singh <priyanka.priyankasingh@GMAIL.COM>
Sender: "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From: priyanka singh <priyanka.priyankasingh@GMAIL.COM>
Subject: Re: Checking heteroskedasticity in Varmax
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In this case, how do I deal with heteroskedasticity problem and get the
efficient estimates of parameters like testing of the hypothesis in VARMAX.
Taking an example of Granger Causality, If I want to test then I should
correct for heteroskedasticity. How to tackle this?
On Mon, Apr 13, 2009 at 5:40 PM, Alex Murphy <firstname.lastname@example.org> wrote:
> Unfortunately, I do not believe that VARMAX has it.
> On Tue, Apr 14, 2009 at 3:38 AM, priyanka singh <
> email@example.com> wrote:
>> Dear all,
>> Can I use Newey West in proc Varmax? If yes, how...I want to get the
>> corrected covariance- variance matrix of the parameters using Newey West
>> proc varmax.
> Murphy Choy
> Certified Advanced Programmer for SAS V9
> Certified Basic Programmer for SAS V9
> DataShaping Certified SAS Professional