Search found 3 matches
- Fri Mar 25, 2011 8:49 pm
- Forum: Other Time Series Analysis
- Topic: Hodrick(1992) Standard Errors
- Replies: 5
- Views: 13872
Re: Hodrick(1992) Standard Errors
Thank you!
- Mon Mar 21, 2011 2:04 pm
- Forum: Other Time Series Analysis
- Topic: Hodrick(1992) Standard Errors
- Replies: 5
- Views: 13872
Re: Hodrick(1992) Standard Errors
Ok. I am making a regression of excesses return (rt) on realised volatility (rv). And i want to make k-step regression to see for wich value of k the rv predict rt. In the litterature, it seem that rv is good predictable variable for rt but only il the long run. So on excel i begin to sum my data ov...
- Wed Mar 16, 2011 5:57 pm
- Forum: Other Time Series Analysis
- Topic: Hodrick(1992) Standard Errors
- Replies: 5
- Views: 13872
Re: Hodrick(1992) Standard Errors
Mr TomDoan, I would like to use the calculation that you proposed for Hodrick (1992) standard errors. My preocupation is that i have already calculated the agregations for my series on excel. So I would like to know if i have to use only the basic series (not aggregated) and your programma will calc...