Sep, 2011 there is no reason why you should ever deliver a homework question of this sort with a wrong answer. Standard error estimation with overlapping samples. The matlab program codes are available as a supplement to the paper. This is an example of the calculation of hodrick1992 standard errors. Newey and west standard errors, a neweywest estimator is.
First, in section 2, i walk through a simple example which outlines the general empirical setting and illustrates why we would need to correct the standard errors on the coefficient estimates when faced with overlapping samples. Available for consultancy roles see website for contact details. This course is a phd level course in empirical asset pricing. Making it as easy as possible to get data into the program was a major focus in developing rats 8. There is no reason why you should ever deliver a homework question of this sort with a wrong answer. Credit spreads, economic activity and fragmentation. The eviews addins infrastructure offers seamless access to userdefined programs using the standard eviews command, menu, and object interface. Standard error estimation with overlapping samples research. Hodrick 1992, section 1, which utilizes the movingaverage structure of the.
The hamilton jacobi bellman hjb equation for the investorqs program 9 writes. Hansen 1982 and hansen and hodrick 1980, or the automatic. Statistical software components from boston college department of economics. Developer of advanced gui framework all matlab versions r2008a onwards matpigui. Eviews offers academic researchers, corporations, government agencies, and students access to powerful statistical, forecasting, and modeling tools through an innovative, easytouse objectoriented interface. Easily save results including generalized residuals and gradients to new eviews objects for further analysis. Pdf robust smoothing of gridded data in one and higher. The standard error proposed by hodrick 1992, section 1, which uses. Robust smoothing of gridded data in one and higher dimensions with missing values. I will let you know about any such deviations in class. For chi square test program checks whether first is a constant and ignores. Therefore you will be assigned exercises that require dealing with data and estimating models. Choose a web site to get translated content where available and see local events and offers.
Dear all, i i have a query regarding seasonal adjustment of data. This software and documentation is provided as is, without warranty of any kind. For discrete variables, frequencies are counted for each distinct value that the variable takes. Procedure to compute a least squares regression with the covariance matrix proposed by hodrick1992 dividend yields and expected stock returns. Andrews and monahan 1992 with quadraticspectral or tukeyhanning kernels. You will need access to matlab, gauss or some other matrix programming language. Alex geiger moved to rochester ny where he studied machine learning at the rochester institute of technology. The program codes in matlab are available as a supplement to the. We show that this unobserved systematic component is demanded to hedge against adverse economic fl. In stata, the command newey produces neweywest standard errors for coefficients estimated by ols regression.
One way around this problem has been proposed by hodrick 1992 who. In this post, i show how to compute corrected standard errors for a predictive regression with overlapping samples as in hodrick 1992. Passionate and driven all his life, with a mission to automate aspects the feature engineering process. Alternative procedures for inference and measurement. General econometric questions and advice should go in the econometric discussions forum.
Contribute to alexchincoresearch notebookcode development by creating an account on github. The other plugin estimators are consistent for the parameters but not the standard errors, making it unlikely that they will perform satisfactorily in hypothesis testing. The need for hansen hodrick standard errors shows up a lot when working with overlapping data in finance. Gmm and minz program libraries for matlab citeseerx. Gretl users guide gnu regression, econometrics and timeseries library allin cottrell department of economics wake forest university riccardo jack lucchetti. Find out for yourself why eviews is the worldwide leader in windowsbased econometric software and the choice of those who demand the. Inference of longhorizon predictability semantic scholar. The structure of this strategy is standard in an affine model. When i did this ols regression myself based on the data from prof. Mathworks is the leading developer of mathematical computing software.
The rats software forum view topic hodrick1992 standard. Mathworks is the leading developer of mathematical computing software for engineers and. How can you determine the correct significance of the shiller. The eviews microsoft excel addin offers a simple interface for fetching and linking from within microsoft excel 2000 and later to series and matrix objects stored in eviews workfiles and databases. The shiller pe regression refers to the regression of real stock market returns over the next 20 years on the shiller pe. Our method can easily be applied within standard software packages since conventional inference procedures ols, white, neweywest standard errors are asymptotically valid when applied to the transformed regression. Mathworks is the leading developer of mathematical computing software for engineers. On the lefthandside you now have annual returns and observations next to each other have 11 month of data in common. Estimated standard errors for 500 simulated draws using both the naive and hodrick 1992 approaches. Hodrick 1992 standard errors for technical questions regarding estimation of single equations, systems, vars, factor analysis and state space models in eviews. Count models support generalized linear model or qml standard errors. Most people do not acquire a deep understanding of empirical issues without actually doing empirical work.
Support for more data formats, including stata, eviews and matlab support for excel 2007 was added with 7. Based on your location, we recommend that you select. Im writing a thesis and im wondering if eviews has a way to implement hodrick 1992 standard errors. Lochstoer page 3 tentative reading list we may deviate from this reading list. The asset pricing field is vast, but we will focus primarily on two core ideas. The latter problem is taken up by adkins 3 who uses a murphy and topel 11 correction to obtain consistent standard errors with some success.
Matrices in gretl work much as in other mathematical software e. As an example, take a look at my previous post in which i walk through the properties of the hodrick 1992 standard errors for overlapping returns. Rats procedure to compute hodrick standard errors, statistical software components rts00147, boston college department of economics. How can i calculated the standard error for time series means.
How can i calculated the standard error for time series. Characterizing predictable components in excess returns on equity and foreign exchange markets, journal of finance, american finance association, vol. Credit spreads may be jointly driven by developments that are orthogonal to the current state of the economy. In matlab, the command hac in the econometrics toolbox produces the neweywest estimator among others. The myth of long horizon predictability paris school of economics.
I seasonally adjusted data by using x12 in eviews but that process works a only for absolute values and not for negative values. Suppose you want to predict annual returns on the stock market, but that you sample the data monthly. If you want sas to conveniently calculate tstats and pvalues using whites heteroskedasticityadjusted standard errors, just use the sas code above that we used to obtain neweywest standard errors, but replace the fourth line with. You are free to use any software available to you to perform this empirical work. Through monte carlo analysis we show that it performs better in.
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