A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS

Robert M. de Jong

Econometric Theory, 2000, vol. 16, issue 02, pages 262-268

Abstract: A strong consistency result for heteroskedasticity and autocorrelation consistent covariance matrix estimators is proven in this paper. In addition, an error in a weak consistency proof for such estimators in the econometrics literature and a correction of that result is provided.

Date: 2000
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