ARIMA robust standard error estimation
Posted: Mon Oct 23, 2023 6:29 am
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?
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?