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

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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

Statistical and numerical algorithms Advanced Statistical Methods and Models Financial Risk and Volatility Modeling

Publication Details

Published in: National Bureau of Economic Research

DOI: 10.3386/t0055

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

Authors

Abstract

Topics & Keywords

Publication Details