A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix

Whitney Newey and Kenneth West ()

No 55, NBER Technical Working Papers from National Bureau of Economic Research, Inc

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.

Date: 1986-04
Note: EFG
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Published as West, Kenneth D. and Whitney K. Newey. Econometrica, Vol. 55, No. 3, May 1987, pp. 703-708.

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Related works:
Journal Article: A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix (2014)
Journal Article: A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix (1987)
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