TY  - JOUR
AU  - Newey,Whitney K.
AU  - West,Kenneth D.
TI  - A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 55
PY  - 1986
Y2  - April 1986
UR  - http://www.nber.org/papers/t0055
L1  - http://www.nber.org/papers/t0055.pdf
N1  - Author contact info:
Kenneth D. West
Department of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI  53706
Tel: 608/262-0033
Fax: 608/262-2033
E-Mail: kdwest@wisc.edu
AB  - 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.
ER  -