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A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Open accessAbstract
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.
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Citations
Cited by
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
How Much Should We Trust Differences-in-Differences Estimates?
Bertrand, M., Duflo, E., & Mullainathan, S. (2004) · The Quarterly Journal of Economics · doi:10.1162/003355304772839588 · Cited by 10,641
Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data
Driscoll, J. C., & Kraay, A. C. (1998) · Review of Economics and Statistics · doi:10.1162/003465398557825 · Cited by 6,865
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
Pesaran, M. H. (2006) · Econometrica · doi:10.1111/j.1468-0262.2006.00692.x · Cited by 5,078
Metadata
- Authors
- Newey, W., & West, K.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 1986-04
- OpenAlex
- W3023906401
- Cited by
- 12,278
- References
- 0
- Type
- report
- Language
- en
- Open access
- green
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- CoChat. (2026). Citation check: A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix. https://app.cochat.ai/papers/10.3386/t0055
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- Newey, W., & West, K. (1986). A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix. National Bureau of Economic Research. https://doi.org/10.3386/t0055
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
