Construct · 1 fields · 1 citations

Newey-West standard errors: a standalone construct

One name. One construct. A landmark on the map.

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Newey-Weststandard errors1 CONSTRUCTNewey-West standardNEWEY · ECONOMETRICS

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Econometrics

a covariance estimator that stays consistent under both heteroskedasticity and autocorrelation by down-weighting longer-lag covariances.

In econometrics, Newey-West standard errors refers to a covariance estimator that stays consistent under both heteroskedasticity and autocorrelation by down-weighting longer-lag covariances. This meaning comes from Newey (1987) in Econometrica.[1]

Unit
Recovery means
Measured by

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Nearby constructs

autocorrelation1 fields · 1 citationsanchor · a standalone constructcovariance3 fields · 3 citationsjingle · one word, three constructsestimator2 fields · 2 citationsjingle · one word, two constructs

References

  1. Newey, W. K., & West, K. D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55(3), 703. https://doi.org/10.2307/1913610

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