How fast are you sending the data to this PIC? Not like baud rate, but are you typing it? Is it another PIC sending the data to this PIC?
What are you using to send the data to this PIC?
You might be overrunning the serial input buffer because you're busy trying to send data out (multiple bytes) at the same time data is coming in (single bytes) at the same baud rate and therefore the incoming data is getting lost.
Try not HSEROUT'ing until you either get a good 'packet' or a 'bad packet' instead of HSEROUT'ing every step of the way and see what happens.