How can I compute Hodrick 1992 (IB) standard error and two-sides p value?

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New Contributor
Posts: 4

How can I compute Hodrick 1992 (IB) standard error and two-sides p value?

Dear All,

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.

Josephine

See below.

Hodrick, R. (1992), "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement", Review of Financial Studies, vol 5, 357-386.

http://rfs.oxfordjournals.org/content/5/3/357.full

Super User
Posts: 10,500

Re: How can I compute Hodrick 1992 (IB) standard error and two-sides p value?

Do you have access to SAS/ETS, the module with most of the time-series procedures?

 

New Contributor
Posts: 4

Re: How can I compute Hodrick 1992 (IB) standard error and two-sides p value?

Yes, I have. Can you tell me which procedures I should use? Thanks!

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