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

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

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Mitchell A. Petersen · SSRN Electronic Journal · 2006 · 2.8K citations · Full text

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Kent L. Womack · The Journal of Finance · 1996 · 1.8K citations

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