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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.
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أثر الإستثمارات فى الطلب على عنصر العمل البشرى فى القطاع الزراعى المصرى [Effect of Investment on the Demand of Human Labor Input in the Egyptian Agricultural Sector]
TL;DR: In this paper, the role of investment in increasing the demand on human labor input in the agricultural sector, in the shade of fiscal and monetary policies, is investigated, where the authors applied simple regression and simultaneous equations models by three stages least squares (3SLS) during (1990-2007).
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Mispricing and Uncertainty in International Markets
TL;DR: This article developed Residual MisPricing (RMP), an index capturing mispricing relative to a linear benchmark asset pricing model, from the structure imposed by no-arbitrage.
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The Impact of Demonetization on the Short-Term and Long-Term Returns of India’s Leading Real Estate Index
TL;DR: In this article, the authors examined the short-term and long-term impact of demonetization on the daily and monthly returns of the S&P BSE Realty Index, India's leading real estate index.
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Zero Lower Bound and Indicator Properties of Interest Rate Spreads
TL;DR: The authors examined the predictive power of interest rate spreads when the zero lower bound restriction for monetary policy is binding and showed that this restriction has a major effect on the predictive content of some interest rate spread.
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An Empirical Model for Spillover Effects in Price Discovery with Application to the European Bond Market
TL;DR: In this article, the authors examine spillover effects caused when market participants trade different financial instruments in a single operation and show that trading intensity in the market affects the dynamics of the order flow of particular fixed income instruments.