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| From | Khabara <kirphantom@yandex.ru> |
| To | statalist@hsphsun2.harvard.edu |
| 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. -- View this message in context: http://statalist.1588530.n2.nabble.com/Calculating-Hansen-Hodrick-standard-errors-using-Stata-tp6094922p6094922.html Sent from the Statalist mailing list archive at Nabble.com. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/