A new consistency proof for HAC variance estimators

James Davidson

Economics Letters, 2020, vol. 186, issue C

Abstract: A consistency theorem for kernel HAC variance estimators was originally proposed by Hansen (1992) but corrected under stronger conditions on the order of existing moments by de Jong (2000). The present result restores and also generalizes the conditions of Hansen’s result by assuming the process to be adapted to a filtration. It allows for nonstationarity, and dependence is modelled by the assumption of near-epoch dependence on a mixing process.

Keywords: HAC variance; Estimation; Consistency (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304112

DOI: 10.1016/j.econlet.2019.108811

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