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A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix

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Author Info

  • Newey, Whitney

    ()
    (Massachusetts Institute of Technology)

  • West, Kenneth

    ()
    (University of Wisconsin)

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. (This abstract was borrowed from another version of this item.)

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File URL: http://pe.cemi.rssi.ru/pe_2014_1_124-132.pdf
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Bibliographic Info

Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

Volume (Year): 33 (2014)
Issue (Month): 1 ()
Pages: 125-132

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Handle: RePEc:ris:apltrx:0233

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Web page: http://appliedeconometrics.cemi.rssi.ru/

Related research

Keywords: heteroskedasticity and autocorrelation consistent covariance matrix; HACSE; robust standard errors; heteroscedasticity; autocorrelation;

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  1. Kenneth D. West, 1985. "A Variance Bounds Test of the Linear Quardractic Inventory Model," NBER Working Papers 1581, National Bureau of Economic Research, Inc.
  2. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-86, September.
  3. White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January.
  4. Cumby, Robert E. & Huizinga, John & Obstfeld, Maurice, 1983. "Two-step two-stage least squares estimation in models with rational expectations," Journal of Econometrics, Elsevier, vol. 21(3), pages 333-355, April.
  5. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
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