NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

Kenneth D. West

NBER Technical Working Paper No. 183
Issued in July 1995
NBER Program(s):   AP

A þT consistent estimator of a heteroskedasticity and autocorrelation consistent covariance matrix estimator is proposed and evaluated. The relevant applications are ones in which the regression disturbance follows a moving average process of known order. In a system of þ equations, this `MA-þ' estimator entails estimation of the moving average coefficients of an þ-dimensional vector. Simulations indicate that the MA-þ estimator's finite sample performance is better than that of the estimators of Andrews and Monahan (1992) and Newey and West (1994) when cross-products of instruments and disturbances are sharply negatively autocorrelated, comparable or slightly worse otherwise.

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Document Object Identifier (DOI): 10.3386/t0183

Published: West, Kenneth D. "Another Heteroskedasticity- And Autocorrelation-Consistent Covariance Matrix Estimator," Journal of Econometrics, 1997, v76(1&2,Jan/Feb), 171-191.

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