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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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Nonlinearities and the macroeconomic effects of oil prices
TL;DR: The authors reviewed some of the literature on macroeconomic effects of oil price shocks with a particular focus on possible nonlinearities in the relation and recent new results obtained by Kilian and Vigfusson [http://www-personal.umich/~lkilian/kvsubmission.pdf (2009)].
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Markups and the Business Cycle
TL;DR: In this paper, the authors consider three leading theories of markup determination: monopolistic competition, customer market, and individual firms' incentives to deviate from an implicit collusive understanding, and show that these three theories can be nested in a single specification that makes markups a function of current sales and of the expected present discount.
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Deviations from Put-Call Parity and Stock Return Predictability
Martijn Cremers,David Weinbaum +1 more
TL;DR: In this paper, the difference in implied volatility between pairs of call and put options is used to measure deviations from put-call parity, and the authors find that stocks with relatively expensive calls outperform stocks with comparatively expensive puts by 51 basis points per week.
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A Utility-Based Comparison of Some Models of Exchange Rate Volatility
TL;DR: In this paper, a utility-based criterion is used to make asset allocation decisions, where underestimates of population variances lead to lower expected utility than equivalent overestimates, unlike standard criteria such as mean squared error.
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New evidence on asymmetric gasoline price responses
TL;DR: The authors used the standard Engle-Granger two-step estimation procedure, whereas Borenstein, Cameron, and Gilbert used a nonstandard estimation methodology and found no evidence of price asymmetry in wholesale gasoline prices.
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.