Application of the Newey-West Matrix for Correction of Heteroskedasticity and Cross-Sectional Correlation

Jianping Mei and Whitney Newey
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Jianping Mei: Department of Economics, Princeton University, Princeton, New Jersey 08544, USA

Chapter 3 in New Methods for the Arbitrage Pricing Theory and the Present Value Model, 1994, pp 91-111 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionThe Modified Newey-West Covariance MatrixAn ExampleConclusionReferencesAppendix

Date: 1994
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