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

B-Tier
Journal: Econometric Theory
Year: 2000
Volume: 16
Issue: 2
Pages: 262-268

Score contribution per author:

2.018 = (α=2.02 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

A strong consistency result for heteroskedasticity and autocorrelation consistent covariance matrix estimators is proven in this paper. In addition, an error in a weak consistency proof for such estimators in the econometrics literature and a correction of that result is provided.

Technical Details

RePEc Handle
repec:cup:etheor:v:16:y:2000:i:02:p:262-268_16
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25