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| From | Sergiy Radyakin <serjradyakin@gmail.com> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | Re: st: Hansen-Jagannathan distance |
| Date | Thu, 13 Jun 2013 03:56:54 -0400 |
This question has been already asked before and both times was left without an answer. http://www.stata.com/statalist/archive/2011-03/msg00541.html http://bbs.pinggu.org/thread-1051311-1-1.html Not to leave it without any response for the third time: what have you done so far and what is the particular problem you are facing while implementing HJ-distance in Stata? Given that its a fairly contemporary method, consider contacting the authors, they might know about particular implementations: http://larspeterhansen.org/ http://www.kellogg.northwestern.edu/faculty/directory/jagannathan_ravi.aspx See if this RATS implementation is helpful: http://econpapers.repec.org/software/bocbocode/rts00090.htm Sergiy Radyakin On Wed, Jun 12, 2013 at 11:39 AM, Julio Alejandro Sarmiento Sabogal <sarmien@javeriana.edu.co> wrote: > Dear Statalisters, > > > I would like to know if anybody has developed an .ado file with Hansen-Jagannathan distance (Hansen-Jagannathan 1997). I'm struggling trying to apply this method to test asset pricing models but my background doesn't allow me to develop this model by myself. > > > Thanks in advance, > > > Julio Sarmiento > > > HANSEN, L. P. & JAGANNATHAN, R. 1997. Assessing specification errors in stochastic discount factor models. The Journal of Finance, 52, 557-590. > AVISO LEGAL: El presente correo electronico no representa la opinion o el consentimiento oficial de la PONTIFICIA UNIVERSIDAD JAVERIANA. Este mensaje es confidencial y puede contener informacion privilegiada la cual no puede ser usada ni divulgada a personas distintas de su destinatario. Esta prohibida la retencion, grabacion, utilizacion, aprovechamiento o divulgacion con cualquier proposito. Si por error recibe este mensaje, por favor destruya su contenido y avise a su remitente. > En este aviso legal se omiten intencionalmente las tildes. > > Este mensaje ha sido revisado por un sistema antivirus, por lo que su contenido esta libre de virus. > This e-mail has been scanned by an antivirus system, so its contents is virus free. > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/