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Econometrica
Article
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zbMATH Open
Article
Data sources: zbMATH Open
Research Papers in Economics
Preprint . 1986
Full-Text: http://www.nber.org/papers/t0055.pdf
Data sources: Research Papers in Economics
Research Papers in Economics
Article . 2014
Full-Text: http://pe.cemi.rssi.ru/pe_2014_1_124-132.pdf
Data sources: Research Papers in Economics
Econometrica
Article . 1987 . Peer-reviewed
Data sources: Crossref
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix
descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 May 1987Publisher:JSTORJournal:Econometrica, volume 55, page 703 (issn: 0012-9682, Copyright policy )
Authors: Newey, Whitney; West, Kenneth;

doi: 10.2307/1913610

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Abstract

An estimator is proposed for the asymptotic covariance matrix of the generalized method of moments estimator of \textit{L. P. Hansen} [ibid. 50, 1029-1054 (1982; Zbl 0502.62098)]. It is shown that this estimator is positive semidefinite, and that, under certain regularity conditions, it is consistent.

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Keywords

Estimation in multivariate analysis, heteroskedasticity and autocorrelation consistent covariance matrix; HACSE; robust standard errors; heteroscedasticity; autocorrelation, rational expectations models, asymptotic covariance matrix of the generalized method of moments estimator, Applications of statistics to economics, jel: jel:C19, jel: jel:C01, jel: jel:C12, jel: jel:C13, jel: jel:C10

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
13K
Top 0.01%
Top 0.01%
Top 1%
bronze