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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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Sectoral differences in the use of information technology and matching efficiency in the US labour market
TL;DR: In this paper, the authors examined how the heterogeneity of use of information technology in production affects the probability that an unemployed worker will be matched with a vacancy, using US time series from 1967 to 2007, and constructed measures of dispersion of the stocks of software and hardware per worker across 13 industries.
Posted Content
Inflation Protection from Homeownership: Long-Run Evidence 1811-2008
Dirk Brounen,Dirk Brounen,Dirk Brounen,Piet Eichholtz,M.A.J. Theebe,Stefan Straetmans,Stefan Straetmans +6 more
TL;DR: In this paper, the authors examined the inflation hedging capacity of the private home and employed unique long-term data for inflation, house price dynamics and rents for Amsterdam dating back to 1814.
Dissertation
Are individual forecasters rational? a study of inflation expectations using forecasts from the survey of professional forecasters
TL;DR: In this article, the authors examined the forecast behavior of professional individuals in the United States, using survey data of the one-year ahead inflation rate in the USA, derived from the Survey of Professional Forecasters.
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Alpha Alchemy: Diversifying Without Diluting Alpha
Brian Jacobsen,Chao Ma +1 more
TL;DR: This work illustrates how the basics of portfolio construction with individual securities also applies to building a portfolio of managers and shows the statistical properties of different asset classes, as more and more managers are used to get exposure to the asset class.
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Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads
TL;DR: In this paper, the authors re-examine the out-of-sample predictive power of interest rate spreads when the short-term nominal rates have been stuck at the zero lower bound and the Fed has used unconventional monetary policy.
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.
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.
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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.