EconPapers    
Economics at your fingertips  
 

Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices

Robert de Jong and J. Davidson

No 1996-52, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: Conditions are derived for the consistency of kernel estimators of the covariance matrix of a sum of vectors of dependent heterogeneous random variables, which match those of the currently best-known conditions for the central limit theorem, as required for a unified theory of asymptotic inference. These include finite moments of order no more than 2 + for > 0, trending variances, and variables which are near-epoch dependent on a mixing process, but not necessarily mixing. The results are also proved for the case of sample-dependent bandwidths.

Keywords: kernel estimator; matrices (search for similar items in EconPapers)
Date: 1996
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://pure.uvt.nl/ws/portalfiles/portal/524477/52.pdf (application/pdf)

Related works:
Journal Article: Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tiu:tiucen:482efe95-3738-4a9f-b833-eb728c9119f9

Access Statistics for this paper

More papers in Discussion Paper from Tilburg University, Center for Economic Research
Bibliographic data for series maintained by Richard Broekman ().

 
Page updated 2019-10-08
Handle: RePEc:tiu:tiucen:482efe95-3738-4a9f-b833-eb728c9119f9