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

Whitney K. Newey, Kenneth D. West

NBER Technical Working Paper No. 55
Issued in April 1986
NBER Program(s):   EFG

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.

(324 K)

Published: West, Kenneth D. and Whitney K. Newey. Econometrica, Vol. 55, No. 3, May 1987, pp. 703-708.

This paper is available as PDF (324 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX