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HJBOUNDS: RATS procedure to compute Hansen-Jagannathan bounds for a set of returns

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

HJBounds computes (and optionally graphs) the Hansen-Jagannathan bounds for a set of returns, as a function of the unobserved mean of a riskfree asset. Hansen and Jagannathan(1991), "Implications of Security Market Data for Models of Dynamic Economics", JPE, vol 99, 225-262.

Suggested Citation

  • Tom Doan, "undated". "HJBOUNDS: RATS procedure to compute Hansen-Jagannathan bounds for a set of returns," Statistical Software Components RTS00090, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00090
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/hjbounds.src
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    More about this item

    Keywords

    Hansen-Jagannathan bounds; RATS;

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