A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix

By Whitney K. Newey, Ken West. 2014

14,175 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/eca07df4be9e7f7501198dbc7c122b2c7ecaf2bb

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Citations in the corpus

Carry Trades and Global Foreign Exchange Volatility (2012, methodology): “Standard errors are based on Newey and West (1987) with optimal lag length selection according to Andrews (1991).”
Stock market booms and real economic activity: Is this time different? (2000, methodology): “The ts for the slopes in all regressions use standard errors that are adjusted for heteroscedasticity and residual autocorrelation by using the method of Newey and West (1987).”
HAC Corrections for Strongly Autocorrelated Time Series (2014, methodology): “Under suitable conditions, Chan and Wei (1987) and Phillips (1987) showed that T −1/2(y[·T ] − μ) then converges in distribution to an Ornstein–Uhlenbeck process σJc(·), with covariance kernel E[Jc(r)Jc(s)] = e−c|r−s|/(2c).”
ON THE CAUSALITY BETWEEN FOREIGN DIRECT INVESTMENT AND OUTPUT: A COMPARATIVE STUDY (2001, methodology): “The Bartlett window (see Newey and West [1987]) is used in estimation and the number of truncations is chosen from zero to four.”
Empirical Asset Pricing: The Cross Section of Stock Returns (2016, unknown): “3 Newey and West (1987) Adjustment .”
Conditional tail-risk in cryptocurrency markets (2019, methodology): “In brackets we report standard errors computed by bootstrap for the conditional value-at-risk and quantile regressions, and with Newey and West (1986) correction for OLS.”
The Skew Risk Premium in the Equity Index Market (2013, unknown): “Standard errors use the Newey and West (1987) correction.”