| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0055 |
| 来源ID | Technical Working Paper 0055 |
| A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix | |
| Whitney K. Newey; Kenneth D. West | |
| 发表日期 | 1986-04-01 |
| 出版年 | 1986 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics |
| URL | https://www.nber.org/papers/t0055 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559125 |
| 推荐引用方式 GB/T 7714 | Whitney K. Newey,Kenneth D. West. A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix. 1986. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0055.pdf（323KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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