Automatic Lag Selection in Covariance Matrix Estimation

Whitney Newey and Kenneth West ()

The Review of Economic Studies, 1994, vol. 61, issue 4, 631-653

Abstract: We propose a nonparametric method for automatically selecting the number of autocovariances to use in computing a heteroskedasticity and autocorrelation consistent covariance matrix. For a given kernel for weighting the autocovariances, we prove that our procedure is asymptotically equivalent to one that is optimal under a mean-squared error loss function. Monte Carlo simulations suggest that our procedure performs tolerably well, although it does result in size distortions.

Date: 1994
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Related works:
Working Paper: Automatic Lag Selection in Covariance Matrix Estimation (1995)
Working Paper: Automatic Lag Selection in Covariance Matrix Estimation (1992)
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:61:y:1994:i:4:p:631-653.

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