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A Very Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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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
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Identifying the role of exchange rates in stabilizing open economies: A structured econometric analysis within the classical monetary framework
TL;DR: In this article, the authors provided quantitative policy predictions indicating that there are strong fundamentals motivating exchange rate control in conducting monetary policy, and the estimated effects of changes in money stock, exchange rates, price level movements and other types of economic impulses, are fully consistent with the theoretical predictions.
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Should Mutual Fund Investors Time Volatility
TL;DR: In this paper, the authors show that increasing (decreasing) investment in an actively managed mutual fund when fund volatility has recently been low (high) leads to a significant improvement in investment performance.
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The new keynesian phillips curve for japan ― an empirical analysis ―
TL;DR: In this paper, the modified Woodford (2003)-type New Keynesian Phillips Curve (NKPC) was used to estimate Japanese inflation dynamics through GMM estimations by applying a modified version of the NKPC which incorporates staggered price and wage setting.
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Outcome-based grants-in-aid to local school districts: how to apply them and analyze their impacts on fiscal and outcome equity
TL;DR: In this article, the authors investigated whether an outcome-based school aid formula could improve fiscal and outcome equity significantly more than a typical aid formula would, and they showed that when applied to power-equalizing aid, the latter improved the outcome equity more significantly than both foundation aid and Ohio's recent aid formula do.
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Default Option and the Cross-Section of Stock Returns
TL;DR: In this paper, the authors argue that default option is important for equity valuation and construct a model that explicitly prices the option to default or abandon the firm and find that an investment strategy that buys stocks that are classified as undervalued by their model and shorts overvalued stocks generates an annual 4-factor alpha of about 11% for U.S. stocks.
References
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Large sample properties of generalized method of moments estimators
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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.
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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.
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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.
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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.