A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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.)
Volume (Year): 55 (1987)
Issue (Month): 3 (May)
|Contact details of provider:|| Phone: 1 212 998 3820|
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/
More information through EDIRC
|Order Information:|| Web: https://www.econometricsociety.org/publications/econometrica/access/ordering-back-issues Email: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- West, Kenneth D, 1986.
"A Variance Bounds Test of the Linear Quadratic Inventory Model,"
Journal of Political Economy,
University of Chicago Press, vol. 94(2), pages 374-401, April.
- Kenneth D. West, 1985. "A Variance Bounds Test of the Linear Quardractic Inventory Model," NBER Working Papers 1581, National Bureau of Economic Research, Inc.
- 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.
- Maurice Obstfeld & Robert E. Cumby & John Huizinga, 1983. "Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations," NBER Technical Working Papers 0011, National Bureau of Economic Research, Inc.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January.
- 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.
When requesting a correction, please mention this item's handle: RePEc:ecm:emetrp:v:55:y:1987:i:3:p:703-08. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.