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- Thu Apr 23, 2009 6:49 pm
- Forum: Econometric Discussions
- Topic: Heteroskedastic robust t-statistic and F-statistic
- Replies: 2
- Views: 10048
Re: Heteroskedastic robust t-statistic and F-statistic
Hi, The procedure you have followed (make estimators robust) I think is correct. When doing the Ramsey test you also have to include the option to make the estimators of the expanded model robust. This will produce a robust F-statistic. I think this is the way. You can check this book: "Introdu...