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
Comments: To: Alex Murphy <goladin@gmail.com>
In-Reply-To:  <c6b899fd0904131740va8f6800q37af487937e78137@mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1

Thanks Alex,

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?

Regards,
Priyanka

On Mon, Apr 13, 2009 at 5:40 PM, Alex Murphy <goladin@gmail.com> wrote:

> Hi,
>
> Unfortunately, I do not believe that VARMAX has it.
>
>
> On Tue, Apr 14, 2009 at 3:38 AM, priyanka singh <
> priyanka.priyankasingh@gmail.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
>> in
>> proc varmax.
>>
>>
>> Regards,
>> Priyanka
>>
>
>
>
> --
> Regards,
> Murphy Choy
>
> Certified Advanced Programmer for SAS V9
> Certified Basic Programmer for SAS V9
> DataShaping Certified SAS Professional
>