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A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney Newey and Kenneth West ()

Econometrica, 1987, vol. 55, issue 3, 703-08

Date: 1987
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Journal Article: A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix (2014) Downloads
Working Paper: A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix (1986) Downloads
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