1 option
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix / Whitney K. Newey, Kenneth D. West.
- Format:
- Book
- Author/Creator:
- Newey, Whitney K.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0055.
- NBER technical working paper series no. t0055
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1986.
- Summary:
- 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.
- Notes:
- Print version record
- April 1986.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.