Bollerslev-Wooldridge robust standard errors
Posted: Mon Sep 17, 2018 9:46 pm
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. 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
Kind regards
Thushara
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
Kind regards
Thushara