A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Authors
Whitney K. Newey, Kenneth D. West
Journal
Econometrica
Year Published
1987
DOI
Publisher
Wiley
Citations
17671 citations
Type
Article
Language
EN
Topics & Concepts
Abstract
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix - Full text available via OpenAlex
Author Details
Whitney K. Newey
Kenneth D. West
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