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
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)