Eddy,
Date sent: Wed, 1 Oct 2003 09:24:12 -0700 (PDT)
From: Eddy <[email protected]>
Subject: st: -robust- of time series data
To: [email protected]
Send reply to: [email protected]
> A perhaps naive question: Does it make sense to use the -robust-
> option (sandwitch variance estimate) in a ML estimation of a time
> series model? What is the variance estimates robust to in this case?
> Serial correlations? Thanks.
They're still robust to heteroskedasticity but that's it. If you
want robustness to serial correlation as well, you need something
like -newey-.
--Mark
> Eddy
>
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Prof. Mark E. Schaffer
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