A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Technical Working Paper 0055
DOI 10.3386/t0055
Issue Date
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.
Published Versions
West, Kenneth D. and Whitney K. Newey. Econometrica, Vol. 55, No. 3, May 1987, pp. 703-708.