CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES

B-Tier
Journal: Econometric Theory
Year: 2002
Volume: 18
Issue: 6
Pages: 1449-1459

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

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

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:18:y:2002:i:06:p:1449-1459_18
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25