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A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent 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.
Year of publication:
1986-04
Authors: West, Kenneth D. ; Newey, Whitney K.
Institutions: National Bureau of Economic Research (NBER)
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Extent:
application/pdf
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Type of publication: Book / Working Paper
Notes:
EFG published as West, Kenneth D. and Whitney K. Newey. Econometrica, Vol. 55, No. 3, May 1987, pp. 703-708. Number 0055
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Persistent link: https://www.econbiz.de/10005725334
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