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OLSHODRICK: RATS procedure to compute Hodrick standard errors

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language RATS 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.

Suggested Citation

  • Tom Doan, "undated". "OLSHODRICK: RATS procedure to compute Hodrick standard errors," Statistical Software Components RTS00147, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00147
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/olshodrick.src
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