A strong consistency proof for heteroscedasticity and autocorrelation consistent covariance matrix estimators
نویسنده
چکیده
This paper considers strong consistency of heteroscedasticity and autocorrelation consistent covariance matrix estimators. Sometimes such estimators in the literature are referred to as Newey-West estimators. Weak consistency proofs for these estimators can be found in White (1984), Newey and West (1987), Gallant and White (1988), Andrews (1991), Hansen (1992a), and De Jong and Davidson (1997). The only results establishing strong consistency, to the best of the author’s knowledge, are Corradi (1997) and Altissimo and Corradi (1997). Corradi (1997) improves upon the results in Altissimo and Corradi (1997). This paper improves Corradi’s conditions substantially. A strong consistency proof is given that is
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