New package on SSC: -harreg- — HAR inference for time-series regression

[Eben Lazarus]

A new package, harreg, is now available from SSC, and thanks to Kit Baum for posting. To install:

ssc install harreg

harreg implements HAR (heteroskedasticity- and autocorrelation-robust) inference for time-series regressions, using the procedures recommended in Lazarus, Lewis, Stock, and Watson (2018, JBES). The package supports a range of long-run variance estimators, including the recommended equal-weighted cosine estimator (the default) and the Newey-West kernel estimator, and all tests use fixed-b critical values. Compared to the standard approach implemented by newey, this inference approach improves on size control (reducing false rejection rates), with bandwidth rules chosen to optimize the size-power tradeoff. The companion postestimation command harwald performs HAR Wald tests of linear restrictions on the coefficients.

For details and worked examples, see the help files:

help harreg
help harwald

The package is joint work with Daniel J. Lewis (UCL). Comments, suggestions, and bug reports are more than welcome.