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

198716,856 citationsJournal Article

Authors

Whitney K. Newey · Massachusetts Institute of Technology

Kenneth D. West · National Bureau of Economic Research

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.

Topics & Keywords

Advanced Decision-Making Techniques Face and Expression Recognition Neural Networks and Applications

Publication Details

Published in: Econometrica

Volume 55, Issue 3, pp. 703-703

DOI: 10.2307/1913610

Field-Weighted Citation Impact: 128.66

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

Authors

Abstract

Topics & Keywords

Publication Details