Consistency of kernel estimators of heteroscedastic and autocorrelated covariance matrices
نویسنده
چکیده
THIS PAPER DERIVES CONDITIONS for the consistency of kernel estimators of the covariance matrix of a weighted sum of vectors of dependent heterogeneous random variables. This is a problem that has been studied recently by, among others, Newey and West Ž . Ž . Ž . Ž . 1987 , Gallant and White 1988 , Andrews 1991 , Potscher and Prucha 1991b , An̈ Ž . Ž . drews and Monahan 1992 , and Hansen 1992 . A leading example of its application is ˆ Ž . where an estimator u r=1 of a parameter u is known to satisfy n 0
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