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

Published online by Cambridge University Press:  01 April 2000

Robert M. de Jong
Affiliation:
Michigan State University
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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.

Type
MISCELLANEA
Copyright
© 2000 Cambridge University Press