Table 7. Hansen and Hodrick (1980)...

Table 7.

Hansen and Hodrick (1980) one-month forward model estimation results (SE in parentheses)

	$α_{0}$				$β$
FX	OLS	GMM	GMM-GLS-IV	GLS-IV	OLS	GMM	GMM-GLS-IV	GLS-IV
US-UK	−0.000 (0.001)	0.001 (0.002)	0.000 (0.001)	0.000 (0.001)	−0.087 (0.040)	0.044 (3.875)	1.436 (1.439)	0.392 (0.278)
US-CAD	−0.000 (0.001)	0.000 (0.001)	−0.000 (0.001)	−0.000 (0.001)	−0.035 (0.051)	0.247 (1.012)	0.040 (0.631)	1.223 (0.959)
US-JP	0.003 (0.002)	0.004 (0.022)	0.001 (0.001)	0.007 (0.005)	0.120 (0.054)	0.024 (6.181)	−0.039 (0.598)	−0.534 (1.060)
	$α_{1}$				$α_{2}$
US-UK	0.143 (0.059)	0.029 (1.650)	−0.442 (0.435)	−0.081 (0.135)	0.016 (0.045)	0.025 (0.599)	−0.112 (0.133)	−0.037 (0.039)
US-CAD	0.012 (0.046)	−0.096 (0.280)	0.053 (0.162)	−0.455 (0.358)	0.031 (0.037)	0.050 (0.074)	0.023 (0.024)	0.034 (0.031)
US-JP	−0.056 (0.063)	−0.042 (1.262)	−0.045 (0.092)	0.050 (0.187)	0.015 (0.058)	0.013 (0.421)	−0.027 (0.044)	0.028 (0.045)

	$α_{0}$				$β$
FX	OLS	GMM	GMM-GLS-IV	GLS-IV	OLS	GMM	GMM-GLS-IV	GLS-IV
US-UK	−0.000 (0.001)	0.001 (0.002)	0.000 (0.001)	0.000 (0.001)	−0.087 (0.040)	0.044 (3.875)	1.436 (1.439)	0.392 (0.278)
US-CAD	−0.000 (0.001)	0.000 (0.001)	−0.000 (0.001)	−0.000 (0.001)	−0.035 (0.051)	0.247 (1.012)	0.040 (0.631)	1.223 (0.959)
US-JP	0.003 (0.002)	0.004 (0.022)	0.001 (0.001)	0.007 (0.005)	0.120 (0.054)	0.024 (6.181)	−0.039 (0.598)	−0.534 (1.060)
	$α_{1}$				$α_{2}$
US-UK	0.143 (0.059)	0.029 (1.650)	−0.442 (0.435)	−0.081 (0.135)	0.016 (0.045)	0.025 (0.599)	−0.112 (0.133)	−0.037 (0.039)
US-CAD	0.012 (0.046)	−0.096 (0.280)	0.053 (0.162)	−0.455 (0.358)	0.031 (0.037)	0.050 (0.074)	0.023 (0.024)	0.034 (0.031)
US-JP	−0.056 (0.063)	−0.042 (1.262)	−0.045 (0.092)	0.050 (0.187)	0.015 (0.058)	0.013 (0.421)	−0.027 (0.044)	0.028 (0.045)

Note(s):

For US-UK, $α_{1}$ is the coefficient for US-CAD, and $α_{2}$ is the coefficient for US-JP; for US-CAD, $α_{1}$ is the coefficient for US-UK and $α_{2}$ is the coefficient for US-JP; for US-JP, $α_{1}$ is the coefficient for US-UK and $α_{2}$ is the coefficient for US-CAD

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