sigmasq

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seamusdonn
Posts: 1
Joined: Mon Oct 12, 2015 6:53 am

sigmasq

Postby seamusdonn » Tue Oct 13, 2015 9:16 am

When I run an ARMA AR(1) model the output lists all of my independent variables and adds one called SIGMASQ. What is this calculating and can it be derived from the data on the printout?
Last edited by seamusdonn on Tue Oct 13, 2015 9:59 am, edited 1 time in total.
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startz
Non-normality and collinearity are NOT problems!
Posts: 3798
Joined: Wed Sep 17, 2008 2:25 pm

Re: sigmasq

Postby startz » Tue Oct 13, 2015 9:27 am

This is giving the variance of the innovations. One might think it would be very close to the square of the standard error of the regression, but that doesn't seem to be the case.
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