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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.

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Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data

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

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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Nonlinear prediction of exchange rates with monetary fundamentals

TL;DR: This article employed a neural network (NN) to study the nonlinear predictability of exchange rates for four currencies at the 1-, 6-and 12-month forecast horizons, and found that the model with market fundamentals cannot beat the random walk (RW) in out-of-sample forecast accuracy, although it occasionally shows a limited market-timing ability.
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Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise

TL;DR: Analytic expressions for the bias and the mean squared error of the contaminated estimator are derived and can be practically used to design optimal MSE-based estimators, which are very robust and efficient in the presence of noise.
ReportDOI

Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World

TL;DR: In this article, the authors studied the relationship between employee satisfaction and firm performance using lists of the "Best Companies to Work For" in 14 countries and found that employee satisfaction is associated with superior long-run returns, current valuation ratios, future profitability, and earnings surprises in flexible labor markets such as the US and UK, but not rigid labor markets, such as Germany.
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Variable selection, estimation and inference for multi-period forecasting problems

TL;DR: Empirical analysis of the 170 variables studied by Marcellino, Stock and Watson (2006) shows that information in factors helps improve forecasting performance for most types of economic variables although it can also lead to larger biases.
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Correlates of research effort in carnivores: body size, range size and diet matter.

TL;DR: This work is the first to use a combination of bibliometric analysis and biological data to quantify and interpret gaps in research knowledge across an entire Order, the Order Carnivora.
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