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st: Calculating Hansen-Hodrick standard errors using Stata
From
Khabara <[email protected]>
To
[email protected]
Subject
st: Calculating Hansen-Hodrick standard errors using Stata
Date
Sun, 6 Mar 2011 10:47:12 -0800 (PST)
Dear all,
The topic was discussed on the forum before -
http://statalist.1588530.n2.nabble.com/st-Correction-for-overlapping-return-series-td4551946.html.
The suggested solution was to use Newey-West standard errors. However, as a
robustness check on my results, I would like to calculate both Newey-West &
Hansen-Hodrick (HH) standard errors (to re-calculate t-ratios, etc.)
Therefore, I would be grateful if someone could suggest how I can calculate
HH st. errors using Stata? Just as the author of the initial thread, I deal
with yearly observations overlapping by 11 months, creating a MA (11) in
errors.
Any suggestions will be much appreciated.
--
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