In:
The Stata Journal: Promoting communications on statistics and Stata, SAGE Publications, Vol. 12, No. 3 ( 2012-09), p. 515-542
Abstract:
Long-run covariance plays a major role in much of time-series inference, such as heteroskedasticity- and autocorrelation-consistent standard errors, generalized method of moments estimation, and cointegration regression. We propose a Stata command, lrcov, to compute long-run covariance with a prewhitening strategy and various kernel functions. We illustrate how long-run covariance matrix estimation can be used to obtain heteroskedasticity- and autocorrelation-consistent standard errors via the new hacreg command; we also illustrate cointegration regression with the new cointreg command. hacreg has several improvements compared with the official newey command, such as more kernel functions, automatic determination of the lag order, and prewhitening of the data. cointreg enables the estimation of cointegration regression using fully modified ordinary least squares, dynamic ordinary least squares, and canonical cointegration regression methods. We use several classical examples to demonstrate the use of these commands.
Type of Medium:
Online Resource
ISSN:
1536-867X
,
1536-8734
DOI:
10.1177/1536867X1201200312
Language:
English
Publisher:
SAGE Publications
Publication Date:
2012
detail.hit.zdb_id:
2209308-4
SSG:
3,2
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