A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS

Robert M. de Jong

doi:10.1017/S0266466600162061

Abstract

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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.

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A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS

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