A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix

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. (This abstract was borrowed from another version of this item.)

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Year of publication:	2014
Authors:	Newey, Whitney ; West, Kenneth D.
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 33.2014, 1, p. 125-132
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	heteroskedasticity and autocorrelation consistent covariance matrix \| HACSE \| robust standard errors \| heteroscedasticity \| autocorrelation

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Extent:	application/pdf
Type of publication:	Article
Classification:	C01 - Econometrics ; C10 - Econometric and Statistical Methods: General. General ; C12 - Hypothesis Testing ; C13 - Estimation ; C19 - Econometric and Statistical Methods: General. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010841037