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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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Simulated Asymptotic Least Squares Theory
TL;DR: In this paper, a general econometric methodology referred to as the Simulated Asymptotic Least Squares (SALS) is presented, which provides a unifying theory for approximation-based or simulation-based inference methods.
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The Spatial-Temporal Pattern of Policing Following a Drug Policy Reform: Triangulating Self-Reported Arrests With Official Crime Statistics.
TL;DR: Two independent data sources suggest that intensity of drug law enforcement had risen in Tijuana despite the promulgation of a public health-oriented drug policy reform, and the highest concentrations of arrests were in areas traditionally characterized by higher rates of drug crime.
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Large-sample approximations for variance-covariance matrices of high-dimensional time series
Ansgar Steland,Rainer von Sachs +1 more
TL;DR: Large-sample approximations are established for such bilinear forms related to the sample variance-covariance matrix of a high-dimensional vector time series in terms of strong approximation by Brownian motions for uniformly l1-bounded projection vectors.
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Does Investment Horizon Matter? Disentagling the Effect of Institutional Herding on Stock Prices
TL;DR: In this paper, the authors disentangle the price impact of short-term and long-term institutional herding on stock prices and show that herding by shortterm institutions promotes price discovery.
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Option-Implied Correlations, Factor Models, and Market Risk
TL;DR: In this paper, the authors developed implied correlations for economic sectors and used them to extract option-implied risk factors from sector-based covariances to predict future market returns and risk in the form of market betas dispersion.
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.