Newey, Whitney K; West, Kenneth D - In: Review of Economic Studies 61 (1994) 4, pp. 631-53
The authors 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, they prove that their procedure is asymptotically...