ROBUSTERRORS

Econometrics questions and discussions

Re: ROBUSTERRORS

Unread postby ac_1 » Sat Dec 26, 2020 2:32 pm

TomDoan wrote: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
 
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Re: ROBUSTERRORS

Unread postby ac_1 » Mon Apr 19, 2021 5:31 am

Hi Tom,

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

Cheers,
Amarjit
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