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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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On causality in the size-efficiency relationship: the effect of investor cash flows on the mutual fund industry
TL;DR: In this article, the impact of mutual fund cash flows on the relation between size and performance was analyzed and it was shown that performance determines asymmetric variations in fund assets, particularly in mutual equity funds.
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Tomatoes or tomato pickers? Free trade and migration between Mexico and the United States
TL;DR: This article examined the relationship between trade liberalisation and migration in the case of Mexico and found that increasing trade flows cause larger illegal migration from Mexico to the United States, and that trade and migration substitutes like the policy-makers had assumed or are complements.
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Country herding in the global market
TL;DR: Using the tick-by-tick transaction data for 41 stock markets, this article examined whether investors follow each other into and out of the same countries, dubbed country herding, and found that the trend is not limited to the United States.
Field Effects of Consciousness and Reduction in U.S. Urban Murder Rates: Evaluation of a Prospective Quasi-Experiment
TL;DR: In this article, the authors test the hypothesis that group practice of the Transcendental Meditation (TM) and TM-Sidhi program by a group of theoretically predicted size would be sufficient to reduce collective stress in the larger population, as reflected in decreased rates of homicide in a sample of 206 large U.S. urban areas.
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Testing for Equilibrium Multiplicity in Dynamic Markov Games
TL;DR: This article proposed several statistical tests for finite state Markov games to examine the null hypothesis that the data are generated from a single equilibrium, including conditional choice probabilities, steady-state distribution of states, and conditional distributions of states conditional on an initial state.
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.