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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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Empirical Evidence of Risk Shifting in Financially Distressed Firms
TL;DR: In this article, the authors provide evidence of risk shifting behavior in the investment decisions of financially distressed firms using a real options framework, and show that shareholders' risk-shifting incentives can reverse the expected negative relation between volatility and investment.
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Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion
TL;DR: This paper identified key sources of disagreement among economic forecasters by using data on cross-sectional dispersion in forecasters' long and short-run predictions of macroeconomic variables, showing that differences in opinion move countercyclically, with heterogeneity being strongest during recessions where forecasters appear to place greater weight on their prior beliefs.
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On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
TL;DR: In this paper, the authors examined the economic and statistical significance of two types of asymmetries in the joint distribution of stock returns in an out-of-sample setting, and found that knowledge of higher moments and asymmetric dependence leads to gains that are economically significant, and statistically significant in some cases.
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Correlation and studies of habitat selection: problem, red herring or opportunity?
TL;DR: Analytical methods for dealing with correlated data in the context of resource selection are reviewed, including post hoc variance inflation techniques, ‘two-stage’ approaches based on models fit to each individual, generalized estimating equations and hierarchical mixed-effects models.
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Institutional Ownership and Conservatism
Santhosh Ramalingegowda,Yong Yu +1 more
TL;DR: In this article, the authors find that higher ownership by institutions that are likely to monitor managers is associated with more conservative financial reporting, and that this positive association is more pronounced among firms with more growth options and higher information asymmetry.
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.