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Consistent Covariance Matrix Estimation For Linear Processes

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Author Info
Jansson, Michael

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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.

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File URL: http://journals.cambridge.org/abstract_S0266466602186087
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 18 (2002)
Issue (Month): 06 (December)
Pages: 1449-1459
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:18:y:2002:i:06:p:1449-1459_18

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