Stata Implementation of Asymptotic t and F Tests in the Presence of Nonparametric Autocorrelation
The manuscript Heteroscedasticity and Autocorrelation Robust F and t Tests in Stata (with Xiaoqing Ye) describes the details of the implementation.
One-step (first step) GMM estimation and inference in OLS regressions or linear IV regressions
har.ado, hart.ado, and supporting files
Readme
har.ado is the estimation command for OLS or linear IV regressions
hart.ado is the post-estimation command for hypothesis testing.
har.ado is the estimation command for OLS or linear IV regressions
hart.ado is the post-estimation command for hypothesis testing.
Two-step GMM efficient estimation and inference in overidentified linear IV regressions
gmmhar.ado, gmmhart.ado, and supporting files
Readme
gmmhar.ado is the estimation command for overidentified linear IV regressions
gmmhart.ado is the post-estimation command for hypothesis testing.
gmmhar.ado is the estimation command for overidentified linear IV regressions
gmmhart.ado is the post-estimation command for hypothesis testing.