EconomicsMathematics

W. Newey, Ken West

2014.4.1Applied Econometrics

DOI: 10.3386/T0055

tlooto Summary

A method for calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.

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.

Citation format

NEWEY, W.; WEST, Ken. A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix. Applied Econometrics, 2014, 33: 125–132.