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- Fri Nov 06, 2009 2:50 am
- Forum: Estimation
- Topic: Problem about calculating robust QMLE standard errors
- Replies: 0
- Views: 1938
Problem about calculating robust QMLE standard errors
Dear all I’m confusing about the robust QMLE standard errors of ARCH model estimated by EViews (4.0) According to the User’s guide, robust QMLE standard errors could be calculated from the gradient (or score) and Hessian matrix. Because I have to calculated the robust QMLE standard errors manually. ...