International Journal Open Access

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

Whitney K. Newey, Kenneth D. West

National Bureau of Economic Research

1986

12278 citations

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Positive-definite matrix (0.77) Simple (philosophy) (0.71) Mathematics (0.63) Covariance matrix (0.62) Heteroscedasticity (0.59)

A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix - Full text available via OpenAlex

Whitney K. Newey

Kenneth D. West

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