The X-12-ARIMA software of the U.S. Census Bureau is one of the most popular methods for seasonal adjustment; the program x12a.exe is widely used around the world. Some software also provides X-12-ARIMA seasonal adjustments by using x12a.exe as a plug-in or externally. In this article, we...

Threshold models are widely used in macroeconomics and financial analysis for their simple and obvious economic implications. With these models, however, estimation and inference is complicated by the existence of nuisance parameters. To combat this issue, Hansen (1999, Journal of Econometrics...

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...