Hello. I want to make estimations with robust standard errors.
Initially I did a regression with only dummy variables and had the options of covariance coefficients available, among which I chose the Huber-White option.
equation: y c @expand(@month,@droplast)
But when I insert an autoregressive variable of order 1 (ar(1)), the covariance coefficients menu is disabled.
equation: y c @expand(@month,@droplast) ar(1)
How could I estimate this new equation with robust standard errors, given that the covariance coefficients option is disabled?
ARIMA robust standard error estimation
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ARIMA robust standard error estimation
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: ARIMA robust standard error estimation
Change the ARMA method to CLS.
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