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

Newey, Whitney K.; West, Kenneth D.

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

NBER Working Paper No. t0055

14 Pages Posted: 10 Jul 2000 Last revised: 26 Feb 2023

See all articles by Whitney K. Newey

Whitney K. Newey

Massachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER)

Kenneth D. West

University of Wisconsin - Madison - Department of Economics; National Bureau of Economic Research (NBER)

Date Written: April 1986

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.

Suggested Citation: Suggested Citation

Newey, Whitney K. and West, Kenneth D., A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix (April 1986). NBER Working Paper No. t0055, Available at SSRN: https://ssrn.com/abstract=225071