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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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Capital to Labor Growth Ratio and the Cross-Section of Stock Returns
TL;DR: In this paper, the authors examine the cross-sectional relation between log growth in physical capital and growth in labor and subsequent stock returns and conclude that the ratio is a strong predictor of negative future returns.
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Wavelet Power: Wavelet Energy Ratio Unit Root Tests
TL;DR: In this paper, a frequency domain nonparametric and tuning parameter free family of unit root tests indexed by the fractional parameter d is proposed, whose power properties virtually mimic that of the VR statistics but which drastically reduce the severe size distortions suffered by both the VR and FG test in the presence of serially correlated MA(1) errors when the MA parameter is close to negative unity.
Stabilizing a GMM Bootstrap for Time Series:A Simulation Study
TL;DR: In this article, a nonparametric prewhitened HAC estimator was proposed to stabilize the GMM bootstrap through employing the non-parametric HAC estimation, which has the same bias property as a fourth-order kernel but always generates a positive semi-definite estimate in finite samples.
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Time of Day and Market Impact
TL;DR: In this article, the authors examined the effect of information asymmetry on permanent and temporary market impact in the first half-hour of the day of U.S. stock trading and found that the early-morning effect is absent from the trading behavior of European ADRs.
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Improving Inflation Forecasts From the Survey of Professional Forecasters in Chile
Pablo Pincheira,Andrea Bentancor +1 more
TL;DR: In this paper, the authors evaluate inflation forecasts from the Survey of Professional Forecasters (SPF) of the Central Bank of Chile for the period 2000-2008, showing an excess of autocorrelation and a statistically significant bias at the end of the sample.