Concepedia

Autocorrelation-consistent Standard Errors

Autocorrelation-Consistent Standard Errors is a method in cross-sectional econometrics that belongs to the class of robust standard error estimation techniques and specifically accounts for potential autocorrelation in error terms when computing variance estimates, thereby ensuring valid inference in the presence of serial dependence.

245

Publications

44.1K

Citations

385

Authors

259

Institutions

Publications per year

2017–2026

30

Variants

Hac Standard ErrorsHeteroskedasticity And Autocorrelation Consistent Standard Errors

Parents

Publications

245

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

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

, , +10

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Donald W. K. Andrews · Econometrica · 1991 · 4.1K citations

, , +15

TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

J. Durbin, G. S. Watson · Biometrika · 1951 · 3.6K citations

, , +14

Econometric Computing with HC and HAC Covariance Matrix Estimators

Achim Zeileis · Journal of Statistical Software · 2004 · 1.3K citations · Full text

, , +11

Enhanced Routines for Instrumental Variables/Generalized Method of Moments Estimation and Testing

Christopher F. Baum, Mark E. Schaffer, Steven Stillman · The Stata Journal Promoting communications on statistics and Stata · 2007 · 1.3K citations · Full text

, , +16

1–5 of 245

Authors

385

  1. BE
    Bradley E. Huitema

    Western Michigan University, United States

    5 publications · 205 citations

    5

    h-index

  2. CF
    Christopher F. Baum

    Boston College, United States

    5 publications · 1.8K citations

    5

    h-index

  3. ME
    Mark E. Schaffer

    IZA - Institute of Labor Economics, Germany

    5 publications · 1.8K citations

    5

    h-index

  4. SS
    Steven Stillman

    Motu Economic and Public Policy Research, New Zealand

    4 publications · 1.8K citations

    4

    h-index

  5. WK
    Walter Krämer

    TU Dortmund University, Germany

    4 publications · 111 citations

    4

    h-index

1–5 of 385

Institutions

259

  1. University of Chicago

    Chicago, United States

    5 h-index

    6 publications

    467 citations

  2. Federal Reserve Board of Governors

    Washington D.C., United States

    5 h-index

    9 publications

    246 citations

  3. University of Cambridge

    Cambridge, United Kingdom

    5 h-index

    7 publications

    5.9K citations

  4. Federal Reserve

    Washington D.C., United States

    5 h-index

    9 publications

    246 citations

  5. National Bureau of Economic Research

    Cambridge, United States

    4 h-index

    6 publications

    34.6K citations

  6. University of California San Diego

    San Diego, United States

    4 h-index

    5 publications

    331 citations

  7. Western Michigan University

    Kalamazoo, United States

    4 h-index

    8 publications

    286 citations

  8. Michigan State University

    East Lansing, United States

    4 h-index

    4 publications

    516 citations

1–8 of 259

Venues

  1. Journal of Econometrics

    35 publications · 2.9K citations

    23

    h-index

  2. Econometrica

    15 publications · 23.3K citations

    14

    h-index

  3. SSRN Electronic Journal

    Repository · 11 publications · 261 citations

    11

    h-index

  4. Economics Letters

    12 publications · 303 citations

    11

    h-index

  5. RePEc: Research Papers in Economics

    Repository · 10 publications · 398 citations

    10

    h-index

1–5