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
Unveiling Contemporaneous Relations Between Jump Risk and Cross Section of Stock Returns
TL;DR: In this article, the impact of time varying jump risk on aggregate returns was analyzed for four Asian markets, in particular, examine the pricing of jump size and intensity components in the cross section of stock returns.
Journal ArticleDOI
Capital to Labor Growth Ratio and the Cross-Section of Stock Returns
TL;DR: In this paper, the authors examine the cross-sectional relation between log growth in physical capital and growth in labor and subsequent stock returns and conclude that the ratio is a strong predictor of negative future returns.
Journal ArticleDOI
Wavelet Power: Wavelet Energy Ratio Unit Root Tests
TL;DR: In this paper, a frequency domain nonparametric and tuning parameter free family of unit root tests indexed by the fractional parameter d is proposed, whose power properties virtually mimic that of the VR statistics but which drastically reduce the severe size distortions suffered by both the VR and FG test in the presence of serially correlated MA(1) errors when the MA parameter is close to negative unity.
Stabilizing a GMM Bootstrap for Time Series:A Simulation Study
TL;DR: In this article, a nonparametric prewhitened HAC estimator was proposed to stabilize the GMM bootstrap through employing the non-parametric HAC estimation, which has the same bias property as a fourth-order kernel but always generates a positive semi-definite estimate in finite samples.
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.