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

DOI10.1017/S0266466600162061MaRDI QIDQ4512682zbMATH OpenFDO

Authors Robert de Jong

Publication date 29 March 2001

Published in Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

strong consistencyheteroskedasticityautocorrelationcovariance 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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Cited in

(23)

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Sieve semiparametric two-step GMM under weak dependence
• Bounds for inference with nuisance parameters present only under the alternative
• A quantile-based test for symmetry of weakly dependent processes
• Consistency of kernel variance estimators for sums of semiparametric linear processes
• Alternative HAC covariance matrix estimators with improved finite sample properties
• Improved HAC covariance matrix estimation based on forecast errors
• Deciding between GARCH and stochastic volatility via strong decision rules
• Uniform nonparametric inference for time series
• Spurious regression due to neglected of non-stationary volatility
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo
• Bounded integrated processes and unit root tests
• A consistent test for nonlinear out of sample predictive accuracy.
• Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
• Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
• An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• Nonlinear minimization estimators in the presence of cointegrating relations.
• Asymptotics for unit root tests under Markov regime‐switching
• A new consistency proof for HAC variance estimators
• Strong rules for detecting the number of breaks in a time series
• Testing for a change in persistence in the presence of non-stationary volatility

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