Standard error estimation with overlapping samples research. A read is counted each time someone views a publication summary such as the title, abstract, and list of authors, clicks on a figure, or views or downloads the fulltext. That being said, the problem you have is that you need to do a. Suppose you want to predict annual returns on the stock market, but that you sample the data monthly.
The eviews addins infrastructure offers seamless access to userdefined programs using the standard eviews command, menu, and object interface. Find out for yourself why eviews is the worldwide leader in windowsbased econometric software and the choice of those who demand the. Neweywest standard errors and hansenhodrick standard. Based on your location, we recommend that you select.
The pcse estimator is commonly used when working with timeseries, crosssectional tscs data. 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 first such approach was proposed by huber 1967, and further improved procedures have been produced since for crosssectional data, timeseries data and garch estimation. Inference when a nuisance parameter is not identified under the null hypothesis. How can i calculated the standard error for time series. 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. Calculating hansen hodrick standard errors using stata. 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.
By developing a spectral theory of longrun regressions with both longrun dependent and independent variables, we demonstrate a version of engles. 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. On the lefthandside you now have annual returns and observations next to each other have 11 month of data in common. The following link takes you to the website of the manufacturer ihs. Consequently, to consider that every departure of a fit statistic from its ideal value indicates failure of the data to fit the model is to take a pessimistic position. What it is useful, however, is to estimate real standard errors by enlarging the model ideal standard errors by the model misfit encountered in the data. Calculating hansenhodrick standard errors using stata. The question of longrun predictability in the aggregate us stock market is still unsettled. Improvedinferenceinregressionwithoverlapping observations. The pcse estimator is good, just not as good as you think by w. This is due to the lack of a robust method to judge the statistical significance of longrun regressions under the maintained hypothesis. Heteroscedasticity adjusted standard errors spss part 1. Neweywest tends to be used as catchall hac standard errors, whereas hansen hodrick comes up frequently in the context of overlapping data points e. Through monte carlo analysis we show that it performs better in.
They are statistically valid and suggest that eviews and gretl are doing. Login or register by clicking login or register at the topright of this page. How can i calculated the standard error for time series means. I demonstrate how to estimate accurate standard errors in multiple regression in the presence of heteroscedasticity. Nov 16, 2016 dear stata experts, i have got lost and confused regarding the pvalues for hansen and differencein hansen tests threshold proposed by roodman 2009, p129 also, because of the risks, do not take comfort in a hansen test pvalue below 0. His expertise is in the valuation of financial assets. Differencing a series that does not have a unit root actually creates problems rather than solves them. Learn more about econometric statistics and machine learning toolbox. Since i am new to eviews, i am not sure how to do this. Standard error estimation with overlapping samples. How can you determine the correct significance of the.
Over the past few years, hamilton has been working on a paper calling on applied economists to abandon the ubiquitous hodrick prescott filter and replace it with a much simpler method of extracting trend and cycle information from a time series. 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. This update program file can be used to update your currently installed eviews 10 to the latest version. Professor hodrick teaches both fundamental and advanced courses in international finance. Notice that the standard errors computed using hac are a little di erent from those in hill et al. The suggested solution was to use neweywest standard errors. Choose a web site to get translated content where available and see local events and offers.
Eviews 10 feature list eviews offers an extensive array of powerful features for data handling, statistics and econometric. Hodrick 1980 procedure is biased at long horizons, but the alternatives perform better. Hodrickprescott filter in practice semantic scholar. Estimating standard errors in finance panel data sets. Therefore, i would be grateful if someone could suggest how i can calculate hh st. You can decide to make it visible only to you or to a restricted audience. More importantly, the usual standard errors of the pooled ols estimator are incorrect and tests t, f, z, wald based on them are not valid. Alternative ways of conducting inference and measurement for longhorizon forecasting are explored with an application to dividend yields as predictors of stock returns. February, 2020 comments welcome 1this manuscript may be printed and reproduced for individual or instructional use, but may not be printed for commercial purposes. There are now hsp and other data on 10,000 chemicals in the current edition. Fixed and random e ects 6 and re3a in samples with a large number of individuals n. In r, the packages sandwich and plm include a function for the neweywest estimator. Which software provides builtin codes to run cointegration. Hansen 2000, 20201 university of wisconsin department of economics this revision.
Which software provides builtin codes to run cointegration analysis in the presence of structural breaks johansen et al. I want to obtain the t statistics and the pvalues that uses neweywest standard errors and another set of t statistics and pvalues using hansen hodrick standard errors. Hansen and hodrick 1980 show how to calculate correct standard errors when predicting a univariate timeseries of exchange rates. Comparison between neweywest 1987 and hansenhodrick. Specifically i would like the corrected standard errors to be in the summary and not have to do additional calculations for my initial round of hypothesis testing. Regression with heteroskedasticity corrected standard errors. Heteroscedasticityconsistent standard errors wikipedia. The manufacturer of eviews provides several addins and library packages to increase the functionality of eviews. Hac standard errors may be computed using nonparametric kernel, parametric varhac, and prewhitened kernel methods. However, my data has auto correlation so i would need to use neweywest standard errors andor hansenhodrick standard errors to compute the test statistics. Hansens lc is within the unit root part in e views and could have been used for stabilit.
It is shown in the appendix that if assumptions 15 hold, then under any. The need for hansen hodrick standard errors shows up a lot when working with overlapping data in finance. And the calculation of your omega matrix in the function can be done much more simply with the mcov instruction. Heteroscedasticityconsistent standard errors are used to allow the fitting of a model that does contain heteroscedastic residuals. However, my data has auto correlation so i would need to use neweywest standard errors andor hansen hodrick standard errors to compute the test statistics.
I am wondering what type of covariance correction for standard errors is better. In this post, i show how to compute corrected standard errors for a predictive regression with overlapping samples as in hodrick 1992. Qms sets the standard for what statistical software can be by incorporating modern windowing and objectbased techniques in econometric software. The shiller pe regression refers to the regression of real stock market returns over the next 20 years on the shiller pe. When robust standard errors are employed, the numerical equivalence between the two breaks down, so eviews reports both the nonrobust conventional residual and the robust wald fstatistics. General econometric questions and advice should go in the econometric discussions forum. With eviews, youcan quickly and efficiently manage your data, perform econometricand statistical analysis, generate forecasts or model simulations,and produce high. Heteroskedasticityrobust standard errors for fixed effects. Wondering what type of covariance correction for standard. Dear all, i am running a timeseries predictive regression, where left hand side is monthly returns and right hand side are some economic variables. Newey and west standard errors, a neweywest estimator is. Hac standard errors may be computed using nonparametric kernel, parametric varhac, and prewhitened kernel methods, and allow for andrews and neweywest automatic.
To see the final version of this paper please visit the. Charles is nearly there in his answer, but robust option of the regress command and other regression estimation commands in stata makes it possible to use multiple types of heteroskedasticity and autocorrelation robust variancecovariance matrix estimators, as does the coeftest function in the lmtest package, which in turn depends on the respective variancecovariance matrices produced by. Adds the possibility to add or remove a constant term a column of ones as an independent variable in the x matrix. Hodrick 1992 standard errors for technical questions regarding estimation of single equations, systems, vars, factor analysis and state space models in eviews. For ordinary least squares with conventionally estimated standard errors, this statistic is numerically identical to the wald statistic. In matlab, the command hac in the econometrics toolbox produces the neweywest estimator among others. Eviews offers academic researchers, corporations, government agencies, and students access to powerful statistical, forecasting, and modeling tools through an innovative, easytouse objectoriented interface. Pvalues for hansen and differenceinhansen tests statalist. Cohen, polk, and vuolteenaho 2003 is an example of a paper that handles the problem carefully the formulas in this paper generalize and simplify their.
Econometric computing with hc and hac covariance matrix. Hodrick prescott filter in practice almost twenty years after its first presentation in the literature, hodrick prescott hp1 filter is still the favourite empirical technique among researchers who attempt to separate cyclical behaviour from the long run path of economic. I would like to find the r implementation that most closely resembles stata output for fitting a least squares regression function with heteroskedastic corrected standard errors. Neweywest standard errors and hansenhodrick standard error. Easily save results including generalized residuals and gradients to new eviews objects for further analysis. Replicating statas robust option in r cross validated. Lipi t6050 printer drivers fri, 02 mar hansen hodrick standard errors eviews download.
In these data sets, the residuals may be correlated across. Also provides the ability to compute neweywest standard errors without inputing x, with a constant term by default. Jul 26, 2017 over the past few years, hamilton has been working on a paper calling on applied economists to abandon the ubiquitous hodrick prescott filter and replace it with a much simpler method of extracting trend and cycle information from a time series. His current research explores the empirical implications of theoretical pricing models that generate timevarying risk premiums in the markets for bonds, equities and foreign currencies. Neweywest standard errors file exchange matlab central. Malaysia price eviews malaysia reseller buy software. It seems like the name stuck, so now people say hansenhodrick standard errors when they use gmm standard errors with a truncated, equalweight, kernel. Count models support generalized linear model or qml standard errors.
On april 23, 2014, statalist moved from an email list to a forum. Hspip is an ebook, software, a collection of datasets and working examples all in one package. Use autocorrelationrobust standard errors like neweywest or hansen hodrick. Then, in section 3 i compute the estimator for the standard errors proposed in hodrick 1992. Hac standard errors may be computed using nonparametric kernel, parametric varhac, and.
In stata, the command newey produces neweywest standard errors for coefficients estimated by ols regression. Heteroskedasticityrobust standard errors for fixed. You can even use eviews to compute trends and cycles from time series data using the hodrick prescott. Robert reed and rachel webb abstract this paper investigates the properties of the pcse estimator. Eviews builtin forecasting procedures also provide easytouse tools for in. Also, does someone know if statsmodels package that uses hac for robust covariance uses hansen hodrick or neweywest correction for standard errors. Generalized method of moments and macroeconomics bruce e. Hosmerlemeshow and andrews goodnessoffit testing for binary models. Hansen and hodrick wrote their paper before gmm was developed, so they focused on the homoscedastic case.
Hence one important aspect of my question is, is there anything about hansen hodrick that makes it more suited to deal with overlapping data than neweywest. This sample code uses the errorbar option on the hbar statement of proc gchart to display error bars representing one standard error. Its now at helpeconusingthe hodrick prescottfiltertoreproducetheiroriginalresult. When i did this ols regression myself based on the data from prof. Comparison between neweywest 1987 and hansenhodrick 1980.
274 702 1132 497 1328 1191 897 1483 175 860 1061 597 89 734 868 269 110 617 449 49 954 787 1436 678 1416 1230 1128 1079 1647 358 390 548 828 558 1444 1260 717 64 623 556