A simple, positive semi-definite, heteroscedasticity 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.)
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- West, Kenneth D, 1986.
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