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
Government bond market linkages: evidence from Europe
TL;DR: This paper examined linkages among six major European government bond markets (Germany, France, Italy, UK, Belgium and the Netherlands) during 1988-2003 and found that a stable long-run relationship exists among the six markets during the sample period.
Journal ArticleDOI
Short-Run and Long-Run Persistence in Mutual Funds
Yin-Ching Jan,Mao-Wei Hung +1 more
TL;DR: In this paper, an empirical examination of a strategy that picks equity mutual funds on the basis of past short-and long-run performance provides some interesting results, concluding that short-run mutual fund performance is likely to persist in the long run.
Journal ArticleDOI
Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives
TL;DR: In this article, the authors examine and discuss three key issues one is faced with when constructing predictive accuracy tests, namely: the contribution of parameter estimation error (PEE), the choice of linear versus nonlinear models, and the issue of (dynamic) misspecification.
Journal ArticleDOI
Propensity to Switch Auditors and Strictness of Legal Liability Environment: The Role of Audit Mispricing
TL;DR: In this article, the authors investigated whether firms paying relatively high audit fees are more likely to switch auditors, and they investigated whether the legal liability environment affects the propensity to switch auditor owing to audit fee under and/or over-pricing.
Journal ArticleDOI
Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from A Robust Test
TL;DR: In this article, the authors propose a robust test for the null hypothesis that an estimated new-Keynesian model has a reduced form consistent with the unique stable solution against the alternative of sunspot-driven multiple equilibria.
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.