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

Newey, Whitney K.; West, Kenneth D.

Econometrica 55, 703-708 (1987).

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

Keywords:

rational expectations models; asymptotic covariance matrix of the generalized method of moments estimator