@techreport{NBERt0144,
 title = "Automatic Lag Selection in Covariance Matrix Estimation",
 author = "Kenneth D. West and Whitney K. Newey",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Technical Working Paper Series",
 number = "144",
 year = "1995",
 month = "February",
 URL = "http://www.nber.org/papers/t0144",
 abstract = {We propose a nonparametric method for automatically selecting the number of autocovariances to use in computing a heteroskedasticity and autocorrelation consistent covariance matrix.  For a given kernel for weighting the autocovariances, we prove that our procedure is asymptotically equivalent to one that is optimal under a mean squared error loss function.  Monte Carlo simulations suggest that our procedure performs tolerably well, although it does result in size distortions.},
}