A strong consistency proof for heteroskedasticity and autocorrelation consistent covariance matrix estimators

Authors
de Jong, RM
Citation
Rm. De Jong, A strong consistency proof for heteroskedasticity and autocorrelation consistent covariance matrix estimators, ECONOMET TH, 16(2), 2000, pp. 262-268
Citations number
13
Categorie Soggetti
Economics
Journal title
ECONOMETRIC THEORY
ISSN journal
02664666 → ACNP
Volume
16
Issue
2
Year of publication
2000
Pages
262 - 268
Database
ISI
SICI code
0266-4666(200004)16:2<262:ASCPFH>2.0.ZU;2-W
Abstract
A strong consistency result for heteroskedasticity and autocorrelation cons istent covariance matrix estimators is proven in this paper. In addition, a n error in a weak consistency proof for such estimators in the econometrics literature and a correction of that result is provided.