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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 impact of labour unions on external auditor selection and audit scope: evidence from the Korean market
TL;DR: In this paper, the authors examine whether labour unions influence external auditor selection and audit scope and find that firms with a stronger labour union tend to choose higher-quality auditors (i.e., Big N or industry specialist auditors).
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Implementing a Systematic Long-only Momentum Strategy: Evidence From India
TL;DR: In this paper, a monthly-rebalanced, long-only portfolio of top-decile stocks selected from the NIFTY100 using ''off-the-shelf'' momentum criteria significantly outperforms the index in terms of absolute returns and risk adjusted returns, with a mean turnover of 32.10% per month.
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Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators
TL;DR: In this article, size and power properties of autocorrelation-corrected F-type tests based on prewhitened nonparametric covariance estimators were investigated.
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Household Macronutrient Prices and Livestock Health in Western Kenya
TL;DR: Empirical evidence is provided that livestock illness is associated with increased macronutrient shadow prices, and hence the costs of available energy consumption in undernourished areas with smallholder farming systems, which helps guide policy instruments focused on market forces of nutrient consumption.
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Assessing monetary policies in the Eurozone, U.S., U.K. and Japan: new evidence from the post-crisis period
TL;DR: The authors examines the transmission of both conventional and unconventional monetary policies during the global financial crisis of 2007 and examines the impact of monetary policy on the global economy and its impact on monetary policy transmission.