A new consistency proof for HAC variance estimators

DOI10.1016/J.ECONLET.2019.108811MaRDI QIDQ2292789zbMATHOpenAlexFDO

Authors 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

consistencyestimationHAC variance

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1911817 (Why is no real title available?)
• A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Consistency of kernel variance estimators for sums of semiparametric linear processes
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Stochastic Limit Theory

Cited in

(1)

• A GMM approach to estimate the roughness of stochastic volatility

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