EconomicsMathematics
W. Newey, Ken West
2014.4.1Applied Econometrics
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.