I'm running a VAR model in R and found with several tests (
serial.test) that my model still contains heteroscedasticity and autocorrelation. I took the AIC lag order selection criteria, since I got least heteroscedasticity and autocorrelation compared to HQ, SC, FPE (I'm running a great number of VAR Models)
I want to correct the heteroscedasticity and autocorrelation, if possible. Is the HAC estimator possible to use for a VAR Model. And if the answer is yes, how can I implement it in R? If the answer is no, is there any other possibility to get better estimations (other than higher lag order)?
Thank you in advance! Appreciate every help!