CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES

Michael Jansson C

160 citations0/0 files storedEconometric Theory

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Financial Risk and Volatility Modeling Advanced Statistical Methods and Models Spatial and Panel Data Analysis

Abstract

Consistency of kernel estimators of the long-run covariance matrix of a linear process is established under weak moment and memory conditions. In addition, it is pointed out that some existing consistency proofs are in error as they stand.

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References

1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1994Automatic Lag Selection in Covariance Matrix Estimation 1992Canonical Cointegrating Regressions 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

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