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Whitney K. Newey, Kenneth D. West, Automatic Lag Selection in Covariance Matrix Estimation, The Review of Economic Studies, Volume 61, Issue 4, October 1994, Pages 631–653, https://doi.org/10.2307/2297912
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Abstract
We propose a nonparametric method for automatically selecting the number of autocovariances to use in computing a heteroskedasticity and autocorrelation consistent covariance matrix. For a given kernel for weighting the autocovariances, we prove that our procedure is asymptotically equivalent to one that is optimal under a mean-squared error loss function. Monte Carlo simulations suggest that our procedure performs tolerably well, although it does result in size distortions.
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© 1994 The Review of Economic Studies Limited
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