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RE: st: Hansen-Jagannathan distance


From   Julio Alejandro Sarmiento Sabogal <sarmien@javeriana.edu.co>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Hansen-Jagannathan distance
Date   Thu, 13 Jun 2013 11:18:25 +0000

Hi Sergiy,

Thanks for your answer. I'll check the RATS coding.

Best regards,

Julio
________________________________________
De: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] en nombre de Sergiy Radyakin [serjradyakin@gmail.com]
Enviado el: jueves, 13 de junio de 2013 02:56 a.m.
Para: statalist@hsphsun2.harvard.edu
Asunto: Re: st: Hansen-Jagannathan distance

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
<sarmien@javeriana.edu.co> 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.
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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.
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