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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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The Influence of Remoteness and Isolation in the Rural Accommodation Rental Price among Eastern and Western Destinations
TL;DR: In this article, a hedonic pricing model with the use of both Geographic Information Systems and spatial econometrics allows obtaining the specific influence of these factors on rural lodging room prices.
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On the alternative long-run variance ratio test for a unit root
Ye Cai,Mototsugu Shintani +1 more
TL;DR: In this paper, the effects of consistent and inconsistent long-run variance estimation on a test for a unit root, based on the generalization of the von Neumann ratio, were investigated.
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Performance analysis of Brazilian hedge funds
TL;DR: In this article, the authors investigated the performance of hedge funds in Brazil and found that only 5% of funds had positive alpha and only 4% of managers had market timing ability.
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The influence of time, seasonality and market state on momentum: Insights from the Australian stock market
TL;DR: In this paper, the authors provided further insights into the properties of momentum trading strategies using information from the Australian market and found strong seasonal influences consistent with the tax selling hypothesis and institutional "window dressing".
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Securitization of Mortgage Debt, Asset Prices and International Risk Sharing
Mathias Hoffmann,Thomas Nitschka +1 more
TL;DR: In this article, the authors explore the impact of mortgage securitization on the international diversification of macroeconomic risk, and find that countries with the most highly developed markets for securitized mortgage debt have consumption responses to a typical idiosyncratic business cycle shock that are 20-30 percent less volatile than those experienced by countries that do not allow for mortgage security.
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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.