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

[Khabara <kirphantom@yandex.ru>]

Dear Mark and Eric,

Thank you for your reply.

The problem is the following: I've got monthly data on zero-coupon bond
prices with maturities ranging from 1 to 5 years, from which I recover
yields, forwards, yearly returns & yearly returns in excess of a 1-year
yield.

First, I regress average (across maturities) excess returns on all the
forwards and a constant (using -ivreg2- and specifying "bw(12) kernel(tru)
robust" in options).

Second, I regress excess returns on each bond on the fitted values of the
dependent variable from the first regression (no constant - otherwise, the
same command).

In the first regression I recover EXACTLY the same HH-12 lags st. errors as
the author of the original study.

However, in the second-stage regression, the standard errors reported by the
author are VASTLY different from those calculated by me (mine are way larger
and increase linearly with the maturity of the bond - they do not in the
original study).

Also, when I try to recover SEs robust to autocorrelation only (omit
"robust"), I obtain SEs different from the ones obtained by the author, even
though the difference is not large.

Any ideas on where the discrepancies might come from?

Thank you very much in advance!

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