OLSHODRICK: RATS procedure to compute Hodrick standard errors

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Procedure to compute a least squares regression with the covariance matrix proposed by Hodrick(1992) "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement", Review of Financial Studies, vol 5, no 3, 357-386.

Language: RATS
Requires: RATS 7.00
Keywords: Hodrick standard errors; HAC standard errors (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/olshodrick.src (text/plain)

Related works:
Journal Article: Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)
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