TY  - BOOK
AU  - West,Kenneth D.
ED  - National Bureau of Economic Research.
TI  - Another Heteroskedasticity and Autocorrelation Consistent Covariance    Matrix Estimator
T2  - NBER technical working paper series
PY  - 1995///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - July 1995; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/t0183
UR  - http://dx.doi.org/10.3386/t0183
ER  -