Authors
Whitney K Newey, Kenneth D West
Publication date
1986/4
Publisher
National Bureau of Economic Research
Description
This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishes consistency of the estimated covariance matrix under fairly general conditions.
Total citations
Scholar articles
A simple, positive semi-definite, heteroskedasticity and autocorrelationconsistent covariance matrix
WK Newey, KD West - 1986
WK Newey, KD West - Прикладная эконометрика No1 (33) 2014, 2017
WK Newey, KD West - 1986