Robust Standard Error

Schweser notes does not explain the processes of calculating the Robust standard error, neither are the videos I have. Are we to assume that it will be given if needed in the exam hall, and we don’t need to calculate it yourself… Either way, I want to learn how to calculate it ourself. Any help?

Robust error is calculated using a complicated mathematical algorithm, so you will never be able to get one by yourself. You can get it with a statistics-econometrics software package.

The important thing is that you know the methods that can be used to correct heteroskedasticity (robust standard errors being one of them). The CFA ciriculum specifically says that the technical details behind the methods are outside the scope of the reading. That said, I’m sure there are details on the process behind calculating robust standard errors on the internet somewhere if you really want more info about it. Although, as Harro said, you need specific software to actually do it.

OK, thanks