I am trying to find out the meaning of the Hodrick test and its standard errors. Google is hardly helping. I am not sure if this is the same as the Hodrick–Prescott filter test that Google keeps taking me to as my professor is terrible.

Any help or links to resources appreciated.

Is this a test of stationarity for time series?

Obviously the proper way to do this is to go to Google books and search the term. Or search the term and get any papers, read them and see if it relates to your classes topics. If they do keep reading until you see more connection or not.

If google books gives you books that explain the term read them if they are not hidden. Otherwise go to usenet on ebook newsgroups and download the books that you find have reference of such term in them, read them and then delete the downloaded material if you do not want to violate the law of piracy. Of course that is equivalent to going to a library!

This is what i would do if given a term i had no idea about and first few hits didnt give a nice wikipedia type entry anywhere. Is this business school , economics, stock market interest rates related?

time series


this is for a grad school econometrics course. unfortunately required for finance majors.

I tried to find this as well (just to help you) and was somewhat unsuccessful. From the little information I gathered, it seems like a cubic spline is fitted to time series data (and the data looks like differenced data--probably returns data).

When you fit a model like this to data (consider simple linear regression, multiple regression), you can estimate error for the coefficients in your model and also get error sum of squares. I'm not sure what standard errors you want, but the problem is very likely parallel to multiple regression and you are looking at some specific quantity.

If you could ask your professor what the null and alternative hypotheses are that would be of some help.

I'd have a look at Hansen and hodrick's 1980 paper - forward exchange rates as optimal predictors of future spot rates. It's easy enough to find online.