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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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Changing volatility of long-term UK interest rates during Pax Britannica
TL;DR: This article examined the stability of four long-term UK interest rates, including the yield on Consols, over a sample period spanning 1850-1914 and found that overall the interest rates did indeed exhibit remarkable stability over the long sample period.
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Forward Speculation, Excess Returns, and Exchange Rate Variability: The Role of Risk Premiums
TL;DR: In this paper, the authors reconsiders the unbiasedness hypothesis in the foreign exchange market and estimates risk premiums for the dollar rates of the yen, mark, and pound using monthly data from the post-floating period.
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Merger Laws, Globalization, and Corporate Value
Arturo Bris,Christos Cabolis +1 more
TL;DR: In this paper, the first attempt to isolate the direct effect of competition laws on a country's merger activity and indirectly on corporate value was made, and they found that although the direct relationship between merger laws and Tobin's Q is positive and significant, once they control for the net cross-border merger flows in a country, the relationship vanishes.
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A Thresholding-Based Prewhitened Long-Run Variance Estimator and Its Dependence-Oracle Property
TL;DR: In this paper, a decision-based prewhitening filter is used to soak up the dependence of time series data and regularize autocorrelations of the resulting residual process by thresholding.
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Renewed Estimation of a Single Equation for the Chinese Renminbi
TL;DR: The authors provided evidence on the consistency of the determination of the Chinese real effective exchange rate (REER) over time using Elbadawi's model and validated cointegration between the REER and a set of fundamentals using recent developments in model selection.