Does anyone know how to implement Hodrick Standard errors in R? I could not find any package for it in R. Is anyone aware of the same or any open source code that implements it? I want to use Hodrick Standard errors after the estimation of e-GARCH and DCC-GARCH models in R. I am not sure how to approach this?
The code to estimate Hodrick standard errors after a regression model I use is:
kernHAC(r, kernel = "Truncated", bw = 1,
prewhite = FALSE, adjust = FALSE, sandwich = FALSE)
Where r is a regression object.
However, the sandwich package does not support GARCH estimator. How do I estimate Hodrick standard errors after a GARCH regression?