long run variance matrix used in Hansen (1995)

[Aaron]

Dear All,

Could you let me know how to estimate long run variance matrix in equation 17 in the attached paper?
I wonder whether we can estimate this in convenient way by using %cmon. Thank you very much for your help.

Best,

Aaron

[TomDoan]

Use MCOV with the appropriate LAGS and LWINDOW options. rho^2 will then be computed as %CMOM(1,2)^2/(%CMOM(1,1)*%CMOM(2,2))