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
References: Add references at CitEc
Citations: View citations in EconPapers (8709)

Downloads: (external link)
http://links.jstor.org/sici?sici=0012-9682%2819870 ... O%3B2-F&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Journal Article: A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix (2014)
Working Paper: A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix (1986)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecm:emetrp:v:55:y:1987:i:3:p:703-08

Ordering information: This journal article can be ordered from
https://www.economet ... ordering-back-issues

Access Statistics for this article

Econometrica is currently edited by Guido Imbens

More articles in Econometrica from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().