Open AccessPosted Content
A Very Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
About:
This article is published in Research Papers in Economics.The article was published on 1991-01-01 and is currently open access. It has received 736 citations till now. The article focuses on the topics: Covariance function & Estimation of covariance matrices.read more
Citations
More filters
Journal ArticleDOI
Firms as Buyers of Last Resort: Financing Constraints, Stock Returns and Liquidity
TL;DR: In this article, the authors explore the effects of firms being buyers of last resort on stock returns and liquidity and find that firms with more ability to repurchase shares when prices drop far below fundamental value (less financially constrained ones) should have lower short- horizon relative to long-horizon return variance and more positively skewed returns than other firms.
Journal ArticleDOI
Expectativas empresariais, investimento agregado e emprego: uma análise considerando os efeitos das credibilidades monetária e fiscal no Brasil
TL;DR: In this paper, a trabalho elabora uma analise acerca dos efeitos da credibilidade monetaria, da credibiabilidade fiscal e de outras variaveis expectacionais relacionadas ao ambiente macroeconomico sobre as expectativas dos empresarios.
Journal ArticleDOI
Does Estate Taxation Stimulate Life Insurance Demand?: Evidence from a Quasi-Natural Experiment in China
Feng Huang,Xiangnan Wang +1 more
TL;DR: In this article, the authors examined the relationship between the desire of avoiding estate tax and life insurance demand and found that the effect of estate tax on the demand for life insurance was statistically significant.
Posted Content
Consumption, Housing Rents and Housing Price: A Test of a Real Estate Pricing Model Using Hong Kong Data
TL;DR: In this article, the authors investigated whether Hong Kong's volatile real estate market is consistent with a non-linear consumption-based asset pricing model and found that the asset-pricing model is not rejected for some types of properties, but the differentials between the returns to residential properties and risk-free rate are too large to explain by the model.
Journal ArticleDOI
Scaling Factors in Estimation of Time-Nonseparable Utility Functions
TL;DR: This article showed that finite-sample estimates are sensitive to scaling factors, and seemingly plausible scaling factors may produce spurious estimates, and suggested that scaling factors be chosen so that the scaled marginal utility is roughly constant.
References
More filters
Journal ArticleDOI
Large sample properties of generalized method of moments estimators
Journal ArticleDOI
Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data
John C. Driscoll,Aart Kraay +1 more
TL;DR: The authors presented conditions under which a simple extension of common nonparametric covariance matrix estimation techniques yields standard error estimates that are robust to very general forms of spatial and temporal dependence as the time dimension becomes large.
Posted Content
Assessing the Contribution of Venture Capital to Innovation
TL;DR: This paper examined the influence of venture capital on patent applications in twenty industries over three decades and found that increases in venture capital activity in an industry are associated with significantly higher patenting rates.
Journal ArticleDOI
Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
TL;DR: In this paper, the mean squared prediction error (MSPE) from the parsimonious model is adjusted to account for the noise in the large model's model. But, the adjustment is based on the nonstandard limiting distributions derived in Clark and McCracken (2001, 2005a) to argue that use of standard normal critical values will yield actual sizes close to, but a little less than, nominal size.
Journal ArticleDOI
Tests of Conditional Predictive Ability
TL;DR: This paper proposed a framework for out-of-sample predictive ability testing and forecast selection designed for use in the realistic situation in which the forecasting model is possibly misspecified, due to unmodeled dynamics, unmodelled heterogeneity, incorrect functional form, or any combination of these.