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

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

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/