Abstract
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.
Keywords
HeteroscedasticityMathematicsPositive-definite matrixSimple (philosophy)Covariance matrixAutocorrelationApplied mathematicsMatrix (chemical analysis)EconometricsCovarianceStatisticsPhysicsEigenvalues and eigenvectorsChemistryPhilosophy
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Publication Info
- Year
- 1987
- Type
- article
- Volume
- 55
- Issue
- 3
- Pages
- 703-703
- Citations
- 16527
- Access
- Closed
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Cite This
Whitney K. Newey,
Kenneth D. West
(1987).
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.
Econometrica
, 55
(3)
, 703-703.
https://doi.org/10.2307/1913610
Identifiers
- DOI
- 10.2307/1913610