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From | "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | RE: st: Calculating Hansen-Hodrick standard errors using Stata |
Date | Sun, 6 Mar 2011 19:40:46 -0000 |
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: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Syed Basher > Sent: 06 March 2011 19:09 > To: statalist@hsphsun2.harvard.edu > 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 <kirphantom@yandex.ru> > To: statalist@hsphsun2.harvard.edu > 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. > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/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/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/