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Re: st: -robust- of time series data

From   "Mark Schaffer" <[email protected]>
To   [email protected]
Subject   Re: st: -robust- of time series data
Date   Wed, 1 Oct 2003 18:12:30 +0100


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-.


> Eddy
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Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
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