Blog posts¶

in Teaching Notes, Research Notes
3 min read

Hodrick (1992) Standard Errors (Reverse Regression)

In the previous post, I calculate Hodrick (1992) standard error IB in a forward regression setting. This post shows how to use the reverse regression approach of Hodrick (1992) to compute standard errors which account for the overlapping nature of predictors.

in Teaching Notes, Research Notes
4 min read

Out-of-Sample R-squared

This post shows how to evaluate a predictor’s performance using out-of-sample \(R^2_{OS}\) in R. For more details, please refer to Campbell and Thompson (2008).

in Teaching Notes, Research Notes
5 min read

Hodrick (1992) Standard Errors (IB)

This post shows how to correct standard errors for a forward predictive regression with overlapping observations as in Hodrick (1992) in R. For more details, please refer to Alex Chinco.