Statistician is a comprehensive yet simple to use addin for microsoft excel 2007 or later. Im writing a thesis and im wondering if eviews has a way to implement hodrick 1992 standard errors. This message has been checked for viruses but the contents of an attachment may still contain software viruses which could damage. Statistician powerful, easy to use statistics addin for. Getting robust standard errors for ols regression parameters sas code fragments one way of getting robust standard errors for ols regression parameter estimates in sas is via proc surveyreg. It is used to obtain a smoothedcurve representation of a time series, one that is more sensitive to longterm than to shortterm fluctuations. Throughout, bold type will refer to stata commands, while le names, variables names, etc. These commands allow adjustments to be made in the generalized linear model framework using the following methods. The hodrick prescott filter also known as hodrick prescott decomposition is a mathematical tool used in macroeconomics, especially in real business cycle theory, to remove the cyclical component of a time series from raw data.
Stata is available on the pcs in the computer lab as well as on the unix system. A neweywest estimator is used in statistics and econometrics to provide an estimate of the covariance matrix of the parameters of a regressiontype model when this model is applied in situations where the standard assumptions of regression analysis do not apply. If the errors are serially uncorrelated use robust standard errors reg with r option if the errors are correlated use newey. And actually i mean if stata has builtin or userwritten command, not eviews. 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.
Standard econometric theory tells us that we can estimate using gmm yielding the distributional result. To see the final version of this paper please visit the. Robust standard errors also known as huberwhite standard errors, sandwich estimates, or empirical standard errors. Provides detailed reference material for using sasets software and guides you through the analysis and forecasting of features such as univariate and multivariate time series, crosssectional time series, seasonal adjustments, multiequational nonlinear models, discrete choice models, limited dependent variable models. Neweywest tends to be used as catchall hac standard errors, whereas hansen hodrick comes up frequently in the context of overlapping data points e. For all the software covered here, the default number of bootstrap replications is 199, but this can be overruled via option brep, e. 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.
The literature offers two alternatives for selecting the first is based on hodrick and prescott 1997, cooley and ohnain 1991, backus and kehoe 1992, correia, neves and rebelo 1992, and baxter and king 1999. Therefore, i would be grateful if someone could suggest how i can calculate hh st. It comes with a large number of basic data management modules that are highly efficient for transformation of large datasets. Suppose you want to predict annual returns on the stock market, but that you sample the data monthly. R is an implementation of the s programming language combined with lexical scoping semantics inspired by scheme.
Effects of the hodrickprescott filter on trend and. Rats procedure to compute hodrick standard errors tom doan omninorm. On the lefthandside you now have annual returns and observations next to each other have 11 month of data in common. Enter, the regression specification y c x in the edit field, and click on to estimate the equation using standard covariance settings. Statistician works in a unique way when compared to other excel based statistical analysis software. Regression with heteroskedasticity corrected standard errors.
The suggested solution was to use neweywest standard errors. In contrary to other statistical software, such as r for instance, it is rather simple to calculate robust standard errors in stata. The flexibility of stata also enables programmers to provide specialized. Procedure to compute a least squares regression with the covariance matrix proposed by hodrick 1992 dividend yields and expected stock returns. Thus, in order to properly account for the variability of your estimate of, you will have to compute standard errors for the regression that take this autocorrelation and conditional heteroskedasticity into account. The paper also provides valid standard errors for the more complicated case which allows for persistent common shocks. Hodrick 1980 procedure is biased at long horizons, but the alternatives perform better. Stata module to calculate omnibus test for univariatemultivariate normality christopher baum and nicholas cox omodel. Pdf regression standard errors in clustered samples.
Alternative ways of conducting inference and measurement for longhorizon forecasting are explored with an application to dividend yields as predictors of stock returns. This is an example of the calculation of hodrick 1992 standard errors. Choose a web site to get translated content where available and see local events and offers. The need for hansen hodrick standard errors shows up a lot when working with overlapping data in finance. For ols linear models, conventional standard errors are obtained by first. Ncss can produce standard errors, confidence intervals, and ttests that. Find out for yourself why eviews is the worldwide leader in windowsbased econometric software and the choice of those who demand the. Of course, this assumption is violated in robust regression since the weights are calculated from the sample residuals, which are random. These studies recommend fixing the smoothing parameter to isolate the. How can i calculated the standard error for time series. Statistical software components from boston college department of economics. I get na where i should get some values in the computation of robust standard errors i am trying to do a fixed effect panel regression with clusterrobust standard errors.
Stata modules to perform tests on ordered probit and ordered logit models rory wolfe onemode. Robust standard errors is a technique to obtain unbiased standard errors of ols coefficients under heteroscedasticity. This paper also discusses the pros and cons of doubleclustered standard errors. Estimated standard errors for 500 simulated draws using both the naive and hodrick 1992 approaches. Robust standard errors for panel regressions with cross. By running monte carlo simulations, i compare the finitesample properties of the crosssectional. The stata software has become a very popular tool to transform and process data. Chapter 308 robust regression statistical software. Hansenhadrick 1980 standard errors arent the same as hedrick 1992. Based on your location, we recommend that you select. Is the optimal lag length for the hansen and hodrick and newey west robust standard errors the same. The difference in point estimates and standard errors obtained using nonsurvey software and survey software with the design properly specified will vary from data set to data set, and even between variables within the same data set. The software performs high quality statistical analysis based on series of easy to use forms, activated via the excel ribbon.
Eviews reports the robust f statistic as the wald fstatistic in equation output, and the corresponding p value as probwald fstatistic. First, create the equation object in eviews by selecting or from the main menu, or simply type the keyword equation in the command window. In recent years, methods for stochastic detrending have received much attention e. Comparison between neweywest 1987 and hansenhodrick. Wade brorsen ardian harri is an econometrician with toyota motors finance in torrance ca. Longitudinal data analysis using stata statistical horizons.
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. On smoothing macroeconomic time series using hp and. West standard errors newey y x, lagm in pure trend or seasonality models set m1. 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. More important, estimated standard errors and pvalues are probably too low solution 1. New survey items and facility level data sample design variables in 2001 and prior years, masked variables for 3 or 4stage sampling are available. Alternative procedures for inference and measurement. West in 1987, although there are a number of later variants. Hodrick 1992 standard errors statalist the stata forum. Eviews offers academic researchers, corporations, government agencies, and students access to powerful statistical, forecasting, and modeling tools through an innovative, easytouse objectoriented interface. This paper studies the hodrick prescott hp filter, which has become influential in the real business cycle literature. Robust standard errors in stata economic theory blog.
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