Table 8. Hansen and Hodrick (1980)...

Table 8.

Hansen and Hodrick (1980) three-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	−0.001 (0.004)	0.000 (0.004)	−0.000 (0.000)	−0.001 (0.001)	0.091 (0.077)	0.937 (2.486)	0.536 (0.424)	0.376 (0.212)
US-CAD	0.000 (0.003)	0.000 (0.004)	−0.000 (0.001)	−0.000 (0.001)	0.005 (0.071)	0.103 (1.379)	1.063 (0.604)	0.594 (0.206)
US-JP	−0.001 (0.004)	−0.002 (0.006)	0.000 (0.001)	0.002 (0.004)	0.104 (0.062)	0.112 (0.703)	1.090 (0.919)	2.349 (1.372)
	$α_{1}$				$α_{2}$
US-UK	0.055 (0.090)	−0.378 (1.028)	−0.102 (0.134)	−0.104 (0.123)	−0.026 (0.059)	−0.146 (0.408)	−0.067 (0.043)	−0.054 (0.027)
US-CAD	0.026 (0.070)	−0.044 (0.420)	−0.290 (0.158)	−0.239 (0.097)	0.097 (0.046)	0.088 (0.130)	0.017 (0.037)	0.085 (0.023)
US-JP	−0.051 (0.106)	−0.038 (0.254)	−0.193 (0.124)	−0.342 (0.199)	0.064 (0.108)	0.111 (0.219)	−0.074 (0.059)	−0.062 (0.128)

	$α_{0}$				$β$
FX	OLS	GMM	GMM-GLS-IV	GLS-IV	OLS	GMM	GMM-GLS-IV	GLS-IV
US-UK	−0.001 (0.004)	0.000 (0.004)	−0.000 (0.000)	−0.001 (0.001)	0.091 (0.077)	0.937 (2.486)	0.536 (0.424)	0.376 (0.212)
US-CAD	0.000 (0.003)	0.000 (0.004)	−0.000 (0.001)	−0.000 (0.001)	0.005 (0.071)	0.103 (1.379)	1.063 (0.604)	0.594 (0.206)
US-JP	−0.001 (0.004)	−0.002 (0.006)	0.000 (0.001)	0.002 (0.004)	0.104 (0.062)	0.112 (0.703)	1.090 (0.919)	2.349 (1.372)
	$α_{1}$				$α_{2}$
US-UK	0.055 (0.090)	−0.378 (1.028)	−0.102 (0.134)	−0.104 (0.123)	−0.026 (0.059)	−0.146 (0.408)	−0.067 (0.043)	−0.054 (0.027)
US-CAD	0.026 (0.070)	−0.044 (0.420)	−0.290 (0.158)	−0.239 (0.097)	0.097 (0.046)	0.088 (0.130)	0.017 (0.037)	0.085 (0.023)
US-JP	−0.051 (0.106)	−0.038 (0.254)	−0.193 (0.124)	−0.342 (0.199)	0.064 (0.108)	0.111 (0.219)	−0.074 (0.059)	−0.062 (0.128)

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

[ViewLarge]

Sharing Unavailable