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Let the Rosenbrock methods have classical order p and differential algebraic order r and satisfy a certain condition on the stability function R(\\(\\omega)\\) (e.g. which is fulfilled if the method is A-stable). Then the following interesting convergence results hold: \\(y_ n-y(x_ n)=O(h^ r)+O(\\epsilon h^ 2),\\quad z_ n-z(x_ n)=O(h^ r)+O(\\epsilon h),\\) and, in the case of \\(p>r=2\\), \\(y_ n-y(x_ n)=O(h^ 3),\\quad z_ n-z(x_ n)=O(h^ 2).\\) The basic ideas and techniques of the proof are the same as those developed for Runge-Kutta methods in an earlier paper of the authors [ibid. 28, 678-700 (1988; Zbl 0657.65093)], but there is often considerable difference in the details. 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