A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Whitney K. NeweyNational Bureau of Economic Research (NBER)Kenneth D. WestNational Bureau of Economic Research (NBER)
1987en
ABI
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.
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Cited by 80 references