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

被引：19

作者：

de Jong, RM ^{[1
]}

机构：

[1] Michigan State Univ, Dept Econ, E Lansing, MI 48824 USA

来源：

ECONOMETRIC THEORY | 2000年 / 16卷 / 02期

关键词：

D O I：

10.1017/S0266466600162061

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：262 / 268

页数：7

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