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.
Keywords
Positive-definite matrixSimple (philosophy)MathematicsCovariance matrixHeteroscedasticityApplied mathematicsMatrix (chemical analysis)CovarianceEconometricsStatisticsPhysicsChemistryPhilosophyEigenvalues and eigenvectorsChromatography
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Publication Info
- Year
- 1986
- Type
- report
- Citations
- 12725
- Access
- Closed
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Cite This
Whitney K. Newey,
Kenneth D. West
(1986).
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix.
.
https://doi.org/10.3386/t0055
Identifiers
- DOI
- 10.3386/t0055