Granger Causality and Heteroskedasticity

#1
Hello!
My name is Magdalena and I have the following problem; I have daily returns of 60 firms from the year 2000 to 2015. My aim is to test for granger causality between them and to see which firms are leaders or followers over different time periods.

I would like to test for Granger Causality with the var and vargranger command in Stata. However, I am not sure how to deal with heteroskedasticity. For normal regression Stata offers various options such as using Newey West standard errors. I am also thinking about applying the fitted arch variance.

Could someone tell me which Stata command I could use to filter out heteroskedasticity when examining Granger causality?

Thank you very much!
 

hlsmith

Not a robit
#2
I have little experience with STATA or the listed procedures, but wondering if you defined the covariance structure if you would still have problems or not????