Econometrica · 1987 · 17.1K citations · 0 references
Social SciencesEconomicsEconometricsFinancial EconometricsFinancial EconomicsAutocorrelation AnalysisVolatility ModelingAutocorrelation-consistent Standard ErrorsConditional Heteroskedasticity ModelsCovariance Matrix EstimationGeneralized Autoregressive Conditional Heteroskedasticity ModelsHeteroscedastic Error ModelsHeteroskedasticity Modeling
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.