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

DOI10.2307/1913610zbMath0658.62139OpenAlexW2117178635WikidataQ59486377 ScholiaQ59486377MaRDI QIDQ3806654

Whitney K. Newey, Kenneth D. West

Publication date: 1987

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1913610

zbMATH Keywords

rational expectations modelsasymptotic covariance matrix of the generalized method of moments estimator

Mathematics Subject Classification ID

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

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factor models, GMC/GEL estimation of stochastic volatility models, Generic consistency of the break-point estimators under specification errors in a multiple-break model, An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence, Estimating the Hurst parameter in financial time series via heuristic approaches, Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost, Dynamic Copula-Based Markov Time Series, Risk-managed industry momentum and momentum crashes, Tests for serial correlation and overdispersion in a count data regression model<sup>∗</sup>, Realized Volatility: A Review, Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?, BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS, ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY, The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study, A nonparametric test of the mixture-of-distributions model, Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes, UNIT ROOT TESTS WITH WAVELETS, ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA, ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY, Small Sample Properties of Frequency Domain Estimators for the Fractional Model, Fully modified estimation of cointegrating vectors via var prewhitening: A simulation study, Devaluation expectations and the unit root hypothesis: The Italian Lira in the European monetary system, Intertemporal consumer behaviour under structural changes in income, Stochastic Models for Oil Prices and the Pricing of Futures on Oil, In search of statistically valid risk factors, News, volatility and jumps: the case of natural gas futures, Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application, Unnamed Item, Nonlinearity and Endogeneity in Macro-Asset Pricing, Unsupervised Self-Normalized Change-Point Testing for Time Series, OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY, A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS, Binomial thinning models for integer time series, Estimator Choice and Fisher's Paradox: A Monte Carlo Study, THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN, Selection of Mixed Copula Model via Penalized Likelihood, Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence, GENERALIZED INTEGER-VALUED AUTOREGRESSION, Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form, Realized kernels in practice: trades and quotes, On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach, Buy rough, sell smooth, FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS, ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT, Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data, A simple nearly unbiased estimator of cross‐covariances, Estimating Expected Exchange Rates Under Target Zone Regimes, A nesting framework for Markov-switching GARCH modelling with an application to the German stock market, ACCOUNTING FOR THE RELATIONSHIP BETWEEN MONEY AND INTEREST RATES, HURST EXPONENTS IN FUTURES EXCHANGE MARKETS, On the power of durbin-watson statistic against fractionally integrated processes, NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION, An alternative nonparametric tail risk measure, Smart Alpha: active management with unstable and latent factors, Variance estimators in the chu‐white test for structural change, Do emerging markets with consistent returns have better future performance?, Multi-scaling in finance, On Testing Equal Conditional Predictive Ability Under Measurement Error, A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data, Spatial Correlation Robust Inference in Linear Regression and Panel Models, Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence, The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity, Correcting the bias of the sample cross‐covariance estimator, Do defense news crowd out private investment?, Confidence intervals of treatment effects in panel data models with interactive fixed effects, Standard errors for panel data models with unknown clusters, Is Newey-West optimal among first-order kernels?, Editorial: Whitney Newey's contributions to econometrics, Two-sample and change-point inference for non-Euclidean valued time series, A Plug‐in Bandwidth Selection Procedure for Long‐Run Covariance Estimation with Stationary Functional Time Series, Testing stationarity and trend stationarity against the unit root hypothesis, Errors-in-variables estimation with wavelets, ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES, Heteroscedasticity and Autocorrelation Robust Structural Change Detection, Inflation dynamics in the frequency domain, Pairs trading with wavelet transform, Inference and forecasting for continuous-time integer-valued trawl processes, Estimating weak periodic vector autoregressive time series, Uncertainty measures from partially rounded probabilistic forecast surveys, Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms, Misspecified modeling of subsequent waves during COVID‐19 outbreak: A change‐point growth model, Cointegration Rank Estimation for High-Dimensional Time Series With Breaks, Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form, THE CHANGING STRUCTURE OF GOVERNMENT CONSUMPTION SPENDING, Discussion of ``What is a standard error?, Transformed regression-based long-horizon predictability tests, Dynamic factor copula models with estimated cluster assignments, Taking stock of long-horizon predictability tests: are factor returns predictable?, What is a standard error? (And how should we compute it?), Fiscal policy and uncertainty, Analysts' underreaction and momentum strategies, Artificial intelligence in portfolio formation and forecast: Using different variance-covariance matrices, Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models, Specification tests for time-varying coefficient models, A GMM approach to estimate the roughness of stochastic volatility, Profile GMM estimation of panel data models with interactive fixed effects, Testing the martingale difference hypothesis in high dimension, Tail index estimation in the presence of covariates: stock returns' tail risk dynamics, Employee sentiment and stock returns, Nonparametric tests for market timing ability using daily mutual fund returns, BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA, Bias in local projections, Pre-selection in cointegration-based pairs trading, Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings, Phoebus J. Dhrymes (1932–2016), ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS, HAC robust trend comparisons among climate series with possible level shifts, Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function, Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas, Getting the ROC into Sync, Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach, Portmanteau tests for periodic ARMA models with dependent errors, Metalearning of time series: an approximate dynamic programming approach, Forward-selected panel data approach for program evaluation, A higher-order correct fast moving-average bootstrap for dependent data, Bootstrap analysis of mutual fund performance, Optimal deep neural networks by maximization of the approximation power, Interest rate changes and the cross-section of global equity returns, A robust score-driven filter for multivariate time series, Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities, Statistical Inference for High-Dimensional Matrix-Variate Factor Models, HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA, HAC ESTIMATION BY AUTOMATED REGRESSION, NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA, AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION, Evaluating Direct Multistep Forecasts, Testing for Long Memory Using Penalized Splines and Adaptive Neyman Methods, Interval Estimation for the Sortino Ratio and the Omega Ratio, Causality tests and conditional heteroskedasticity: Monte Carlo evidence, Robust inference with GMM estimators, Nonlinear estimation using estimated cointegrating relations, ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM PRINCIPLE AND EXTREME VALUE MODELING, Short-horizon return predictability and oil prices, On the mean-reverting properties of target zone exchange rates: A cautionary note, Scandinavian forward discount bias risk premia, The use of Bayes factors to compare interest rate term structure models, On improving the robustness and reliability of Rao's score test, Expectations hypotheses tests at Long Horizons, Expectations hypotheses tests at Long Horizons, The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market, Predictive ability with cointegrated variables, MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX, HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES, Projected principal component analysis in factor models, Exploiting the errors: a simple approach for improved volatility forecasting, Bayesian analysis of static and dynamic factor models: an ex-post approach towards the rotation problem, Testing for Granger causality with mixed frequency data, GLOBAL AND REGIONAL RISKS IN CURRENCY RETURNS, Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model, Extreme downside risk and market turbulence, Alternative Tests for Parameter Stability, Dynamic capital allocation: exploiting persistent patterns in currency performance, Investor preferences and portfolio selection: is diversification an appropriate strategy?, PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD, Dynamic credit default swap curves in a network topology, Market-Wide Commonality in Liquidity on the CEE-3 Emerging Stock Markets, Mean shift testing in correlated data, The Time-Varying Beveridge Curve, Bias-corrected realized variance, Standard Errors for Nonparametric Regression, Common factors and spatial dependence: an application to US house prices, The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets, Semiparametric Sieve-Type Generalized Least Squares Inference, On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests, A fractionally integrated Wishart stochastic volatility model, Diagnostics for the bootstrap and fast double bootstrap, Testing for time-varying factor loadings in high-dimensional factor models, A Cheap Trick to Improve the Power of a Conservative Hypothesis Test, Efficient Penalized Estimation for Linear Regression Model