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):
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.
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
1 post • Page 1 of 1
Who is online
Users browsing this forum: Bing [Bot] and 4 guests