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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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SRI Funds: Investor Demand, Exogenous Shocks and ESG Profiles
TL;DR: The authors found that investor demand for socially responsible or sustainable and responsible (SRI) mutual funds differs from that of conventional funds in that flows to SRI funds have shown greater growth and more persistence than flows to conventional funds.
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Community-based early warning systems for flood risk mitigation in Nepal
TL;DR: An assessment of the applicability of this approach in basins and countries beyond Karnali and Nepal and an overview of key lessons learnt from this initiative are concluded.
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The Dynamics of Geographic Versus Sectoral Diversification: Is There a Link to the Real Economy?
TL;DR: In this paper, the authors study the dynamics of gains from sectoral versus geographic diversification and relate economic sources to changes in those gains, and find that the average correlation across countries has increased in relation to that across industries.
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The Fed and the Question of Financial Stability: An Empirical Investigation
TL;DR: In this article, the authors show that the Fed reacts to change in spreads between corporate bond yields and government bond yields over and beyond their information content on future inflation and future activity, and that when credit spreads are on the rise, the probability of the Fed will make a large error in forecasting output and inflation increases.
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The role of the information set for forecasting—with applications to risk management
Hajo Holzmann,Matthias Eulert +1 more
TL;DR: In this paper, the effect of increasing the information set can be quantified by using strictly consistent scoring functions, where it results in smaller average scores, and the classical Diebold-Mariano test is a consistent test for the effect that an increase in a sequence of information sets on $h$-step point forecasts.
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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.