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

@article{Newey1986ASP,
  title={A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix},
  author={Whitney Newey and Kenneth D. West},
  journal={Econometrics eJournal},
  year={1986}
}
  • W. NeweyK. West
  • Published 1 April 1986
  • Economics, Mathematics
  • Econometrics eJournal
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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