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

Whitney K. Newey and Kenneth D. West
Econometrica
Vol. 55, No. 3 (May, 1987), pp. 703-708
Published by: The Econometric Society
DOI: 10.2307/1913610
Stable URL: http://www.jstor.org/stable/1913610
Page Count: 6
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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