Erschienen:
Cambridge, Mass: National Bureau of Economic Research, April 1986
Erschienen in:NBER technical working paper series ; no. t0055
Umfang:
1 Online-Ressource
Sprache:
Englisch
DOI:
10.3386/t0055
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
Anmerkungen:
Mode of access: World Wide Web
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Beschreibung:
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