IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/s459711.html

HARREG: Stata module to estimate time-series regression with HAR standard errors and fixed-b inference

Author

Listed:
  • Eben Lazarus

    (UC Berkeley)

  • Daniel J. Lewis

    (University College London)

Programming Language

Abstract

harreg fits a time-series regression by OLS and reports heteroskedasticity- and autocorrelation-robust (HAR) standard errors based on fixed-b asymptotics, as recommended by Lazarus, Lewis, Stock, and Watson (LLSW, 2018) and Lazarus, Lewis, and Stock (LLS, 2021). The default estimator is the equal-weighted cosine (EWC) with nu = floor(0.41*T^(2/3)), as recommended by LLSW (2018). Alternative long-run variance (LRV) estimators include equal-weighted periodogram (EWP), Newey-West/Bartlett (NW), and quadratic spectral (QS). The default rules for the truncation parameter (nw, qs) and degrees of freedom (ewc, ewp) are designed to optimize the tradeoff between test size (controlling the probability of false rejection) and size-adjusted power, following LLSW (2018). For ewc and ewp, inference uses t(nu) and F(m,nu-m+1) reference distributions, where m is the number of restrictions tested. For nw and qs, harreg simulates the fixed-b null distribution to obtain p-values and critical values.

Suggested Citation

  • Eben Lazarus & Daniel J. Lewis, 2026. "HARREG: Stata module to estimate time-series regression with HAR standard errors and fixed-b inference," Statistical Software Components S459711, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459711
    Note: This module should be installed from within Stata by typing "ssc install harreg". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/h/harreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/harreg_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/harwald.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/harreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/harwald.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/har_utils.mata
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/lharreg.mlib
    File Function: object code
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s459711. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.