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. Although Bollerslev-Wooldridge robust standard errors errors are available for the normal distribution, it is not available for the other two distribution. Could you please advise me if it is possible to get Bollerslev-Wooldridge robust standard errors for student t and GED distribution?
Thank you in advance
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
1 post • Page 1 of 1
Who is online
Users browsing this forum: No registered users and 70 guests