The computation of long-run covariances is described in great detail in Appendix F, “Long-run Covariance Estimation”. The group view for computing the covariances is documented in “Long-run Covariance”. In panel workfiles, EViews computes the Phillips and Moon (1999) long-run average covariance matrix obtained by averaging the long-run covariances across cross-sections.

There is little difference between the settings for long-run covariances and variances in non-panel and panel settings. You may, however, provide a name in the Panel matrix edit field to EViews to save a matrix containing the individual covariance estimates. Each row will contain the vec or vech of the results matrix for the corresponding cross-section.

Suppose, for example, that we create a group using the LCARPCAP and LGASPCAR series from the “gasoline.WF1” workfile. Select View/Long-run Covariance... to display the dialog, enter “pan_results” in the Panel matrix edit field, and leave the remaining settings at their defaults:

The resulting long-run average covariances are shown in the group window:

and the individual cross-section results are stored in the matrix PAN_RESULTS, with the vech of the individual cross-section covariances stored in each row: