3.20 Suppose that (Xi, Yi ) are i.i.d. with finite fourth moments. Prove that the sample covariance...
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3.20 Suppose that (Xi, Yi ) are i.i.d. with finite fourth moments. Prove that the sample covariance is a consistent estimator of the population covariance, that is, sXY ¡p sXY, where sXY is defined in Equation (3.24). (Hint: Use the strategy of Appendix 3.3.)
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Related Book For
Introduction To Econometrics
ISBN: 9781292071367
3rd Global Edition
Authors: James Stock, Mark Watson
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