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lrberge / fixest

Fixed-effects estimations
https://lrberge.github.io/fixest/
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Any plan to include Hodrick (1992) standard errors? #413

Open zhongwei-yao opened 1 year ago

zhongwei-yao commented 1 year ago

Thanks for the awesome package! It's been super helpful for my papers.

I have noticed that the option vcov offers the Newey-West corrected standard errors.

My question is: Is it possible to provide standard errors based on Hodrick (1992), which accounts for the overlapping sample in the return predictability fields?

Hodrick, R. J. (1992). Dividend yields and expected stock returns: Alternative procedures for inference and measurement. The Review of Financial Studies, 5(3), 357-386.