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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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Variable selection, estimation and inference for multi-period forecasting problems
TL;DR: Empirical analysis of the 170 variables studied by Marcellino, Stock and Watson (2006) shows that information in factors helps improve forecasting performance for most types of economic variables although it can also lead to larger biases.
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Correlates of research effort in carnivores: body size, range size and diet matter.
TL;DR: This work is the first to use a combination of bibliometric analysis and biological data to quantify and interpret gaps in research knowledge across an entire Order, the Order Carnivora.
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Data-based ranking of realised volatility estimators
TL;DR: This article presented new methods for comparing the accuracy of estimators of the quadratic variation of a price process, and provided conditions under which the relative accuracy of competing estimators can be consistently estimated (as T → ∞ ).
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Asset Pricing with Omitted Factors
Stefano Giglio,Dacheng Xiu +1 more
TL;DR: In this paper, a three-pass method is proposed to estimate the risk premium of an observable factor in linear asset pricing models, which is based on a three pass estimator.
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Capital structure, executive compensation, and investment efficiency
TL;DR: In this article, the similarity between the executive compensation leverage ratio and the firm leverage ratio was examined and the quality of the firm's investment decisions was examined. And the authors found that managers with more debt-like compensation components tend to under-invest, whereas managers with larger equity-based compensation engage more in over-investment.
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.