Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
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Publication:4013241
DOI10.2307/2951575zbMath0746.62088OpenAlexW2044915205MaRDI QIDQ4013241
Publication date: 27 September 1992
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2951575
consistency proofmixingalesrobust covariance matrix estimationalpha mixing conditiongeneral kernel-based covariance estimatorsphi mixing condition
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)
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