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1986•National Bureau of Economic ResearchOpen access

A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix

Whitney K. Newey, Kenneth D. West

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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.

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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.

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Available 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.

Key concepts: Positive-definite matrix, Simple (philosophy), Mathematics, Covariance matrix, Heteroscedasticity, Applied mathematics, Matrix (chemical analysis), Covariance

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