Wang, Qunyong; Wu, Na - In: Stata Journal 12 (2012) 3, pp. 525-542
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...