06-04-2016 09:48 PM
I am running a time-series predictive regression, where left hand side is monthly returns and right hand side are some economic variables. According to Hodrick, R. (1992), I should not use the traditional standard error, but instead use the estimator of the standard errors that imposes the null hypothesis of no serial correlation in returns but does not impose an assumption of conditional homoskedasticity. i.e. Hodrick 1992 (IB)
How can I use SAS 9.4 to compute Hodrick 1992 (IB) standard error and two-sides p value?
Thanks very much.
Hodrick, R. (1992), "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement", Review of Financial Studies, vol 5, 357-386.