CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES

Michael Jansson ()

Econometric Theory, 2002, vol. 18, issue 06, pages 1449-1459

Abstract: Consistency of kernel estimators of the long-run covariance matrix of a linear process is established under weak moment and memory conditions. In addition, it is pointed out that some existing consistency proofs are in error as they stand.

Date: 2002
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