TY  - JOUR
AU  - West,Kenneth D.
AU  - Newey,Whitney K.
TI  - Automatic Lag Selection in Covariance Matrix Estimation
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 144
PY  - 1995
Y2  - February 1995
UR  - http://www.nber.org/papers/t0144
L1  - http://www.nber.org/papers/t0144.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

Whitney K. Newey
E-Mail: wnewey@mit.edu
AB  - 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.
ER  -