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CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES

Published online by Cambridge University Press:  24 September 2002

Michael Jansson
Michael Jansson
Affiliation:
University of California, Berkeley
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Abstract

Consistency of kernel estimators of the long-run covariance matrix of a linear process is established under weak moment and memory conditions. In addition, it is pointed out that some existing consistency proofs are in error as they stand.

Type
Research Article
Information
Econometric Theory , Volume 18 , Issue 6 , December 2002 , pp. 1449 - 1459
Copyright
© 2002 Cambridge University Press

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