is there a possibility to get the standard errors based on Hodrick(1992)?
The key point is the following. Assume that
genr dlox_x12(t) = Log(x(t)/x(t-12))
and the following OLS
dlox_x12(t+12) = alfa + beta *z(t) + e(t+12)
The standard errors of alfa and beta are biased because of the overlapping observations in the endogenous variable.
Hodrick(1992) suggested a solution to this problem. Is this available in Eviews?
For questions regarding programming in the EViews programming language.
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