Am 24.02.2015 um 17:46 schrieb Daniel Bencik: > Dear forum, > > I have a VECM, residuals of both equations show a correlation of > approx 0.55 - is there a way in gretl where I can estimate a VECM/VAR > using GLS so that I factor in the covar structure of residuals? >
You already did, because for a VAR: GLS = OLS. -sven
