The RATS Software Forum

Because del_l_n is missing 4 data points in the middle. The Hodrick standard errors formula doesn't allow for missing values in the middle. Note that "Hodrick" standard errors with steps=1 are just Eicker-White errors and LINREG(ROBUSTERRORS) is perfectly happy with missing values. The wh...

Hodrick standard errors don't apply to one-step forecasts. Hi. Do you you mean this function doesn't support 1-step ahaead forecasts? Because Hodrick (1992) should be applicable, see, for example, Predictability of currency carry trade and asset pricing implications, Journal of Financial Economics,...

Hi all. I'm doing data analysis for my thesis. For some reason, when running regression involving one regressor, del_l_n, RATS gives stadard error of 0 to all regressors, which definitely doesn't look right. I've attached my source and an example is: @OLSHodrick(steps=1,onestep=z41) z41 # constant d...