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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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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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Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
Ravi Jagannathan,Tongshu Ma +1 more
TL;DR: In this paper, the authors show that constraining portfolio weights to be nonnegative is equivalent to using the sample covariance matrix after reducing its large elements and then form the optimal portfolio without any restrictions on portfolio weights.
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Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations
TL;DR: In this article, a production-based asset pricing model is proposed, which is analogous to the standard consumption-based model, but it uses producers and production functions in the place of consumers and utility functions.
References
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The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010
TL;DR: In this article, the authors consider the possibility that a linear co-integrated regression model with multiple structural changes would provide a better empirical description of the present value model of u.S. stock prices.
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Asequibilidad de cerveza y bebidas azucaradas para 15 países de América Latina
Guillermo Paraje,Pablo Pincheira +1 more
TL;DR: In this article, the evolucion of the asequibilidad of cerveza and gaseosas for quince paises de America Latina metodos was studied.
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Modelling and Forecasting the Realized Range Conditional Quantiles
TL;DR: In this paper, a quantile regression approach is proposed to estimate the Realized Range Volatility, an estimator of the quadratic variation of financial prices, taking into account the impact of microstructure noise and jumps.
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Do Informed Investors Time the Horizon? Evidence from Equity Options
TL;DR: In this article, the authors show that informed investors form expectations not only on directional stock returns but also on the timing of information release, and they find that equity options contain stock information at horizons commensurate with their maturities.
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Stock-Market Expectations: Econometric Evidence that Both REH and Behavioral Insights Matter
Roman Frydman,Joshua Stillwagon +1 more
TL;DR: In this paper, the authors present econometric evidence that fundamentals are a major driver of investors' expectations and that expectations are also in part extrapolative, this effect is transient.