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- Wed Sep 14, 2016 3:02 am
- Forum: Econometric Discussions
- Topic: Help - The heteroskedasticity and autocorrelation-consistentt-statistic
- Replies: 0
- Views: 10035
Help - The heteroskedasticity and autocorrelation-consistentt-statistic
I would like to calculate Hansen-Hodrick (HH) standard errors and t-statistic. I would be grateful if someone could suggest how I can calculate HH st. errors and t-statistic using Eviews or any software (Stata, R, Mathlab...) ? The formula is given on this paper: http://papers.ssrn.com/sol3/papers.c...