ROBUSTERRORS

[ac_1]

There are different ways of handling the intercept/mean which is what is described in the paragraph from the User's Guide. BOXJENK uses one way (the more natural way for the types of models it does); LINREG another. If you're doing conditional least squares for an AR model in BOXJENK (rather than maximum likelihood), it produces identical models, just with different parametrizations of the constant/mean.

Many thanks!

[ac_1]

Hi Tom,

BOXJENK, method=GAUSS or method=BFGS display Std Error, T-Stat, Signif, the other methods do not. Why?

Cheers,
Amarjit