Standard Errors Based on Hodrick (1992)

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Standard Errors Based on Hodrick (1992)

Postby RDS » Mon Mar 12, 2018 4:32 am

Dear all,

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?

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