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st: Calculating Hansen-Hodrick standard errors using Stata


From   Khabara <[email protected]>
To   [email protected]
Subject   st: Calculating Hansen-Hodrick standard errors using Stata
Date   Sun, 6 Mar 2011 10:47:12 -0800 (PST)

Dear all,

The topic was discussed on the forum before -
http://statalist.1588530.n2.nabble.com/st-Correction-for-overlapping-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.

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