sas code for Hansen-Jagannathan Distance
Posted: 19 November 2014 11:01 PM   [ Ignore ]
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Hi Joost,
  Do you know how to use SAS to estimate Hansen-Jagannathan Distance in the paper, “Model Comparison Using the Hansen-Jagannathan Distance” by Raymond Kan and Cesare RobottiSource, The Review of Financial Studies, Vol. 22, No. 9 (Sep., 2009), pp. 3449-3490. I browsed the website and did not find a SAS code on it. I am really appreciate if you can provide some guildlines.
  Thanks!
Kai

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Posted: 21 November 2014 05:55 PM   [ Ignore ]   [ # 1 ]
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hi Kai,

Do you mean the data collection and regressions for equations 55-60? Or something else?

best regards,

Joost

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Posted: 21 November 2014 08:02 PM   [ Ignore ]   [ # 2 ]
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Hi Joost,
  Based on the idea in this paper, it should be a test, just like Vuong test in Accounting, to compare different models. It should not be data-collection problem or regression only.
Thanks!
Kai

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Posted: 22 November 2014 10:24 AM   [ Ignore ]   [ # 3 ]
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hi Kai,

Ok, got it. I googled a bit and see that others are looking for an implementation as well.

This stata forum post has author info, and some implementation (not SAS) http://www.stata.com/statalist/archive/2013-06/msg00590.html

best regards,

Joost

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Posted: 24 November 2014 08:11 AM   [ Ignore ]   [ # 4 ]
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Hi Joost,
  Thank you for your reply and suggestions. However, there is no stata package to deal with it and just some suggestions on it.
Best regards!
Kai

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Posted: 24 November 2014 09:10 AM   [ Ignore ]   [ # 5 ]
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hi Kai,

Probably contacting the authors makes the most sense. Other than that it seems that whoever wants this implemented the most, will need to write it..

best regards,

Joost

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