Please give complete citations. I assume you mean "Testing Uncovered Interest Parity at Short and Long Horizons
during the Post-Bretton Woods Era" which is now a 2005 working paper, not 2004.
The single equation estimates are just done with LINREG(LWINDOW=NEWEY,LAGS=maturity-1). (According to footnote 6: A Bartlett window is used
instead, to guarantee positive semi-definiteness of the variance-covariance matrix. Bartlett and Newey-West are synonymous). The joint (fixed effects) is done with SUR(ROBUSTERRORS,LWINDOW=NEWEY,LAGS=maturity-1) with parameters EQUATE 2 to force the coefficients to be equal while allowing the intercepts to vary.