A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix

Whitney Newey and Kenneth West ()

Applied Econometrics, 2014, vol. 33, issue 1, 125-132

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. (This abstract was borrowed from another version of this item.)

Keywords: heteroskedasticity and autocorrelation consistent covariance matrix; HACSE; robust standard errors; heteroscedasticity; autocorrelation (search for similar items in EconPapers)
JEL-codes: C01 C10 C12 C13 C19 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (9)

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Related works:
Journal Article: A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix (1987)
Working Paper: A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix (1986)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0233

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