Hodrick (1992) standard errors
Posted: 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):
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.
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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