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Yes, this is done using the NL command where you can either specify a weighting matrix of your own design or select from a range of designs including Bartlett, Parzen, Tukey, Quadratic Spectral and others.

See the NL chapter of the SHAZAM Reference Manual or the Quick Reference here: http://www.econometrics.com/ref/nl.htm

Yes, this is done using GMM can be performed with the NL the NL command where you can either specify a weighting matrix of your own design or select from a range of designs including Bartlett, Parzen, Tukey, Quadratic Spectral and others.

See the NL chapter of the SHAZAM Reference Manual or the Quick Reference here: http://www.econometrics.com/ref/nl.htm