Hodrick (1992) standard errors

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Hodrick (1992) standard errors

Postby ziucqea » Tue Sep 05, 2017 12:20 am

Hello. I'm writing a thesis and I'm wondering if EViews has a way to implement Hodrick (1992) standard errors? The paper is:

Hodrick, R. J. (1992). Dividend yields and expected stock returns: Alternative procedures for inference and measurement. The Review of Financial Studies, 5(3), 357-386.

For reference, I've attached the part of the paper relevant (as pic):
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3.png (93.22 KiB) Viewed 414 times

As I have a feeling this isn't incorporated in to EViews yet... (though it seems to be freuently used) may I have suggestion how to calculate this version of standard error, notably where C is from? Thank you.

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