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RE: st: Calculating Hansen-Hodrick standard errors using Stata
From
DE SOUZA Eric <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: Calculating Hansen-Hodrick standard errors using Stata
Date
Sun, 6 Mar 2011 20:50:11 +0100
That is the case, Mark.
Eric
Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Schaffer, Mark E
Sent: 06 March 2011 20:41
To: [email protected]
Subject: RE: st: Calculating Hansen-Hodrick standard errors using Stata
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: [email protected]
> [mailto:[email protected]] On Behalf Of Syed Basher
> Sent: 06 March 2011 19:09
> To: [email protected]
> 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 <[email protected]>
> To: [email protected]
> 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.
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