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A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. (English) Zbl 0658.62139

An estimator is proposed for the asymptotic covariance matrix of the generalized method of moments estimator of 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.

MSC:

62P20 Applications of statistics to economics
62H12 Estimation in multivariate analysis

Citations:

Zbl 0502.62098
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