Code
Stata Package
harreg: HAR Inference for Time-Series Regression in Stata, with Daniel J. Lewis
A Stata package implementing HAR (heteroskedasticity- and autocorrelation-robust) inference for time-series regressions, using the procedures recommended in Lazarus, Lewis, Stock, and Watson (2018) and Lazarus, Lewis, and Stock (2021).
GitHub Repository | Install in Stata: ssc install harreg
Replication Packages for Publications
Excess Movement in Option-Implied Beliefs, with Ned Augenblick, forthcoming, Journal of Finance
Forward Return Expectations, with Mihir Gandhi and Niels J. Gormsen, forthcoming, Review of Financial Studies
Overinference from Weak Signals and Underinference from Strong Signals, with Ned Augenblick and Michael Thaler, Quarterly Journal of Economics (2025)
Duration-Driven Returns, with Niels J. Gormsen, Journal of Finance (2023)
The Size-Power Tradeoff in HAR Inference, with James H. Stock and Daniel J. Lewis, Econometrica (2021)
HAR Inference: Recommendations for Practice, with James H. Stock, Daniel J. Lewis, and Mark W. Watson, Journal of Business & Economic Statistics (2018)
Spatial Clustering During Memory Search, with Jonathan F. Miller, Sean M. Polyn, and Michael J. Kahana, Journal of Experimental Psychology: Learning, Memory, and Cognition (2013)