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by scthushara
Mon Sep 17, 2018 9:46 pm
Forum: Estimation
Topic: Bollerslev-Wooldridge robust standard errors
Replies: 0
Views: 1597

Bollerslev-Wooldridge robust standard errors

Hi, I am estimating SARIMA-GARCH and SARIMA-GJR models for international tourist arrivals from several source markets. As in many cases the error term is not normally distributed, I estimated all the models under three cases, 1. assuming normal error distribution 2 Student t distribution and 3 GED. ...

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