Newey–West estimator (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Newey–West estimator" in English language version.

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archive.org

Greene, William H. (1997). Econometric Analysis (3rd ed.).

doi.org

Newey, Whitney K; West, Kenneth D (1987). "A Simple, Positive Semi-definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix" (PDF). Econometrica. 55 (3): 703–708. doi:10.2307/1913610. JSTOR 1913610.
Andrews, Donald W. K. (1991). "Heteroskedasticity and autocorrelation consistent covariance matrix estimation" (PDF). Econometrica. 59 (3): 817–858. doi:10.2307/2938229. JSTOR 2938229.
Newey, Whitney K.; West, Kenneth D. (1994). "Automatic lag selection in covariance matrix estimation" (PDF). Review of Economic Studies. 61 (4): 631–654. doi:10.2307/2297912. JSTOR 2297912.
Smith, Richard J. (2005). "Automatic positive semidefinite HAC covariance matrix and GMM estimation" (PDF). Econometric Theory. 21 (1): 158–170. doi:10.1017/S0266466605050103.

github.com

"CovarianceMatrices.jl package".

jstor.org

Newey, Whitney K; West, Kenneth D (1987). "A Simple, Positive Semi-definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix" (PDF). Econometrica. 55 (3): 703–708. doi:10.2307/1913610. JSTOR 1913610.
Andrews, Donald W. K. (1991). "Heteroskedasticity and autocorrelation consistent covariance matrix estimation" (PDF). Econometrica. 59 (3): 817–858. doi:10.2307/2938229. JSTOR 2938229.
Newey, Whitney K.; West, Kenneth D. (1994). "Automatic lag selection in covariance matrix estimation" (PDF). Review of Economic Studies. 61 (4): 631–654. doi:10.2307/2297912. JSTOR 2297912.

mathfinance.cn

"Newey West estimator – Quantitative Finance Collector". Archived from the original on 24 June 2018. Retrieved 18 May 2009.

mathworks.com

"Heteroscedasticity and autocorrelation consistent covariance estimators". Econometrics Toolbox.

nber.org

Newey, Whitney K; West, Kenneth D (1987). "A Simple, Positive Semi-definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix" (PDF). Econometrica. 55 (3): 703–708. doi:10.2307/1913610. JSTOR 1913610.
Newey, Whitney K.; West, Kenneth D. (1994). "Automatic lag selection in covariance matrix estimation" (PDF). Review of Economic Studies. 61 (4): 631–654. doi:10.2307/2297912. JSTOR 2297912.

r-project.org

cran.r-project.org

"sandwich: Robust Covariance Matrix Estimators". CRAN.
"plm: Linear Models for Panel Data". CRAN.

sas.com

support.sas.com

"Usage Note 40098: Newey–West correction of standard errors for heteroscedasticity and autocorrelation".

sourceforge.net

gretl.sourceforge.net

"Robust covariance matrix estimation" (PDF). Gretl User's Guide, chapter 22.

stackexchange.com

stats.stackexchange.com

"time series – Bartlett Kernel (Newey West Covariance Matrix)". Cross Validated. Retrieved 15 September 2022.

stata.com

"Regression with Newey–West standard errors" (PDF). Stata Manual.

statsmodels.org

"statsmodels: Statistics". statsmodels.

uni-kassel.de

"Verallgemeinerte Kleinst-Quadrate-Schätzung" [Generalized Least Squares estimation]. www.uni-kassel.de. Uni-Kassel. Retrieved 21 September 2023.

warwick.ac.uk

wrap.warwick.ac.uk

Smith, Richard J. (2005). "Automatic positive semidefinite HAC covariance matrix and GMM estimation" (PDF). Econometric Theory. 21 (1): 158–170. doi:10.1017/S0266466605050103.

web.archive.org

"Newey West estimator – Quantitative Finance Collector". Archived from the original on 24 June 2018. Retrieved 18 May 2009.

worldcat.org

search.worldcat.org

Greene, William H. (2012). Econometric analysis (7th ed.). Boston: Pearson. ISBN 978-0-273-75356-8. OCLC 726074601.

yale.edu

cowles.yale.edu

Andrews, Donald W. K. (1991). "Heteroskedasticity and autocorrelation consistent covariance matrix estimation" (PDF). Econometrica. 59 (3): 817–858. doi:10.2307/2938229. JSTOR 2938229.