Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator /
West, Kenneth D.
Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator / Kenneth D. West. - Cambridge, Mass. National Bureau of Economic Research 1995. - 1 online resource: illustrations (black and white); - NBER technical working paper series no. t0183 . - Technical Working Paper Series (National Bureau of Economic Research) no. t0183. .
July 1995.
A þT consistent estimator of a heteroskedasticity and autocorrelation consistent covariance matrix estimator is proposed and evaluated. The relevant applications are ones in which the regression disturbance follows a moving average process of known order. In a system of þ equations, this `MA-þ' estimator entails estimation of the moving average coefficients of an þ-dimensional vector. Simulations indicate that the MA-þ estimator's finite sample performance is better than that of the estimators of Andrews and Monahan (1992) and Newey and West (1994) when cross-products of instruments and disturbances are sharply negatively autocorrelated, comparable or slightly worse otherwise.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.
Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator / Kenneth D. West. - Cambridge, Mass. National Bureau of Economic Research 1995. - 1 online resource: illustrations (black and white); - NBER technical working paper series no. t0183 . - Technical Working Paper Series (National Bureau of Economic Research) no. t0183. .
July 1995.
A þT consistent estimator of a heteroskedasticity and autocorrelation consistent covariance matrix estimator is proposed and evaluated. The relevant applications are ones in which the regression disturbance follows a moving average process of known order. In a system of þ equations, this `MA-þ' estimator entails estimation of the moving average coefficients of an þ-dimensional vector. Simulations indicate that the MA-þ estimator's finite sample performance is better than that of the estimators of Andrews and Monahan (1992) and Newey and West (1994) when cross-products of instruments and disturbances are sharply negatively autocorrelated, comparable or slightly worse otherwise.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.