@techreport{NBERt0055,
 title = "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix",
 author = "Whitney K. Newey and Kenneth D. West",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Technical Working Paper Series",
 number = "55",
 year = "1986",
 month = "April",
 URL = "http://www.nber.org/papers/t0055",
 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.},
}