A new consistency proof for HAC variance estimators

DOI10.1016/j.econlet.2019.108811zbMath1435.62133OpenAlexW2991017726MaRDI QIDQ2292789

Yanyan Li

Publication date: 5 February 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.108811

zbMATH Keywords

estimationconsistencyHAC variance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Estimation in multivariate analysis (62H12)

Related Items (1)

A GMM approach to estimate the roughness of stochastic volatility

Cites Work

• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Stochastic Limit Theory
• A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Consistency of kernel variance estimators for sums of semiparametric linear processes

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