TY  - JOUR
AU  - West,Kenneth D.
TI  - Another Heteroskedasticity and Autocorrelation Consistent Covariance    Matrix Estimator
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 183
PY  - 1995
Y2  - July 1995
UR  - http://www.nber.org/papers/t0183
L1  - http://www.nber.org/papers/t0183.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  - 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.
ER  -