Hello, Does anyone know about robust estimation of vector autoregressive models (VAR(p)) in R? Or in Matlab? Currently I am using the function ar(). The problem is, that the variances of my data change a lot with time, and we also have some outliers in the data. That is why, I presume, that we would get quite different results when estimating robustly. I would be very grateful if someone could help! Thanks a lot! Irene. [[alternative HTML version deleted]]