A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
提出一种简单方法，构造的协方差矩阵自动满足正半定性，且在一般条件下估计量具有一致性，适用于异方差和自相关数据。
This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishes consistency of the estimated covariance matrix under fairly general conditions.