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

DOI10.1017/S0266466600162061zbMath0957.62074MaRDI QIDQ4512682

Robert M. de Jong

Publication date: 29 March 2001

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

strong consistencyautocorrelationheteroskedasticitycovariance matrix estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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