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Re: st: -robust- of time series data


From   David Jacobs <[email protected]>
To   [email protected]
Subject   Re: st: -robust- of time series data
Date   Wed, 01 Oct 2003 17:57:51 -0400

Although I agree with the prior response suggesting the Newey-West estimator, I wonder if this is necessary. You are far more likely to encounter problems with serial correlation rather than heteroskedasticity when you estimate time-series models. Did you test for heteroskedasticity? I would only worry about heteroskedasticity if my time-series models flunk the relevant tests.

Dave Jacobs

At 09:24 AM 10/1/2003 -0700, you wrote:

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.

Eddy

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