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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Econometrica · 1987 · Vol. 55(3) · pp. 703–703

Whitney K. Newey✉(Massachusetts Institute of Technology)Kenneth D. West(National Bureau of Economic Research)

Abstract

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.

Advanced Decision-Making Techniques Face and Expression Recognition Neural Networks and ApplicationsHeteroscedasticityMathematicsPositive-definite matrixSimple (philosophy)Covariance matrixAutocorrelationApplied mathematicsMatrix (chemical analysis)EconometricsCovariance

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