Programming the statistical procedures from SAS

Proc VARMAX with Newey-West correction

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Proc VARMAX with Newey-West correction

Hi, 

 

I'm estimating a VECM model using the VARMAX procedure.

I was asked to correct the t-stats using New-West correction.

I searched the documentation and SAS Communities but didn't find a solution, Is there a way to do it using VARMAX?

 

Thanks, 

SK

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