Access

You are not currently logged in.

Access JSTOR through your library or other institution:

login

Log in through your institution.

Journal Article

Automatic Lag Selection in Covariance Matrix Estimation

Whitney K. Newey and Kenneth D. West
The Review of Economic Studies
Vol. 61, No. 4 (Oct., 1994), pp. 631-653
Published by: Oxford University Press
Stable URL: http://www.jstor.org/stable/2297912
Page Count: 23
  • Download ($42.00)
  • Subscribe ($19.50)
  • Add to My Lists
  • Cite this Item
Automatic Lag Selection in Covariance Matrix Estimation
Preview not available

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.

Page Thumbnails

  • Thumbnail: Page 
631
    631
  • Thumbnail: Page 
632
    632
  • Thumbnail: Page 
633
    633
  • Thumbnail: Page 
634
    634
  • Thumbnail: Page 
635
    635
  • Thumbnail: Page 
636
    636
  • Thumbnail: Page 
637
    637
  • Thumbnail: Page 
638
    638
  • Thumbnail: Page 
639
    639
  • Thumbnail: Page 
640
    640
  • Thumbnail: Page 
641
    641
  • Thumbnail: Page 
642
    642
  • Thumbnail: Page 
643
    643
  • Thumbnail: Page 
644
    644
  • Thumbnail: Page 
645
    645
  • Thumbnail: Page 
646
    646
  • Thumbnail: Page 
647
    647
  • Thumbnail: Page 
648
    648
  • Thumbnail: Page 
649
    649
  • Thumbnail: Page 
650
    650
  • Thumbnail: Page 
651
    651
  • Thumbnail: Page 
652
    652
  • Thumbnail: Page 
653
    653