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RE: st: Calculating Hansen-Hodrick standard errors using Stata


From   DE SOUZA Eric <[email protected]>
To   "[email protected]" <[email protected]>
Subject   RE: st: Calculating Hansen-Hodrick standard errors using Stata
Date   Sun, 6 Mar 2011 20:50:11 +0100

That is the case, Mark.

Eric


Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu


-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Schaffer, Mark E
Sent: 06 March 2011 20:41
To: [email protected]
Subject: RE: st: Calculating Hansen-Hodrick standard errors using Stata

Khabar et al.,

If I'm not mistaken, Hansen-Hodrick SEs are the same as using the truncated kernel and assuming homoskedasticity.

... In which case, -ivreg2- and -xtivreg2- support "Hansen-Hodrick" SEs.
Just specify

kernel(tru)

as one of the options, along with the desired bandwith.

If you want HAC-robust instead of just AC-robust SEs, add robust to the options, i.e.,

kernel(tru) robust

Cheers,
Mark

> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Syed Basher
> Sent: 06 March 2011 19:09
> To: [email protected]
> Subject: Re: st: Calculating Hansen-Hodrick standard errors using 
> Stata
> 
> Hi,
> 
> Perhaps nobody has written a code for HH standard errors in Stata. I 
> googled, and came to know that it is rather easy to implement in:
> 
> RATS
> http://www.estima.com/forum/viewtopic.php?f=13&t=924
> 
> and
> 
> GAUSS
> http://www.nd.edu/~nmark/book/gaussproc/gaussproc.htm  (see item # 8)
> 
> Hope you find these useful.
> 
> Syed Basher
> Doha, Qatar.
> 
> 
> 
> 
> ----- Original Message ----
> From: Khabara <[email protected]>
> To: [email protected]
> Sent: Sun, March 6, 2011 9:47:12 PM
> Subject: st: Calculating Hansen-Hodrick standard errors using Stata
> 
> Dear all,
> 
> The topic was discussed on the forum before - 
> http://statalist.1588530.n2.nabble.com/st-Correction-for-overl
apping-return-series-td4551946.html.
>  
> 
> The suggested solution was to use Newey-West standard errors. 
> However, as a robustness check on my results, I would like to 
> calculate both Newey-West & Hansen-Hodrick (HH) standard errors (to 
> re-calculate t-ratios, etc.)
> 
> Therefore, I would be grateful if someone could suggest how I can 
> calculate HH st. errors using Stata? Just as the author of the initial 
> thread, I deal with yearly observations overlapping by 11 months, 
> creating a MA (11) in errors.
> 
> Any suggestions will be much appreciated.
> 
> --
> View this message in context: 
> http://statalist.1588530.n2.nabble.com/Calculating-Hansen-Hodr
ick-standard-errors-using-Stata-tp6094922p6094922.html
> 
> Sent from the Statalist mailing list archive at Nabble.com.
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