Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: Hansen-Jagannathan distance
From
Sergiy Radyakin <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Hansen-Jagannathan distance
Date
Thu, 13 Jun 2013 03:56:54 -0400
This question has been already asked before and both times was left
without an answer.
http://www.stata.com/statalist/archive/2011-03/msg00541.html
http://bbs.pinggu.org/thread-1051311-1-1.html
Not to leave it without any response for the third time: what have you
done so far and what is the particular problem you are facing while
implementing HJ-distance in Stata?
Given that its a fairly contemporary method, consider contacting the
authors, they might know about particular implementations:
http://larspeterhansen.org/
http://www.kellogg.northwestern.edu/faculty/directory/jagannathan_ravi.aspx
See if this RATS implementation is helpful:
http://econpapers.repec.org/software/bocbocode/rts00090.htm
Sergiy Radyakin
On Wed, Jun 12, 2013 at 11:39 AM, Julio Alejandro Sarmiento Sabogal
<[email protected]> wrote:
> Dear Statalisters,
>
>
> I would like to know if anybody has developed an .ado file with Hansen-Jagannathan distance (Hansen-Jagannathan 1997). I'm struggling trying to apply this method to test asset pricing models but my background doesn't allow me to develop this model by myself.
>
>
> Thanks in advance,
>
>
> Julio Sarmiento
>
>
> HANSEN, L. P. & JAGANNATHAN, R. 1997. Assessing specification errors in stochastic discount factor models. The Journal of Finance, 52, 557-590.
> AVISO LEGAL: El presente correo electronico no representa la opinion o el consentimiento oficial de la PONTIFICIA UNIVERSIDAD JAVERIANA. Este mensaje es confidencial y puede contener informacion privilegiada la cual no puede ser usada ni divulgada a personas distintas de su destinatario. Esta prohibida la retencion, grabacion, utilizacion, aprovechamiento o divulgacion con cualquier proposito. Si por error recibe este mensaje, por favor destruya su contenido y avise a su remitente.
> En este aviso legal se omiten intencionalmente las tildes.
>
> Este mensaje ha sido revisado por un sistema antivirus, por lo que su contenido esta libre de virus.
> This e-mail has been scanned by an antivirus system, so its contents is virus free.
>
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/faqs/resources/statalist-faq/
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/