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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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Posted Content
Policy Duration Effect under the Zero Interest Rate Policy in 1999-2000: Evidence from Japan's Money Market Data
TL;DR: In this paper, the authors quantified the policy duration effect of the zero interest rate policy implemented in Japan from February 1999 to August 2000, and showed that the effect of monetary policy on Japanese financial markets emerged via the expectations channel.
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Investor sentiment, market timing, and futures returns
TL;DR: This paper examined whether actual trader position-based sentiment index is useful for predicting returns in the S&P 500 index futures market and found that large speculators possess superior timing ability in the market.
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Cash Holdings and Mutual Fund Performance
TL;DR: In this article, the authors show that managers with high excess cash outperform their low excess cash peers by over 2% per year and that managers carrying high excess Cash compensate for the low return on cash by making superior stock selection decisions.
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Granger Causality and Dynamic Structural Systems
Halbert White,Xun Lu +1 more
TL;DR: In this article, structural causality has been shown to hold for both structural vector autoregressions and recursive structures representing time-series natural experiments, and it is shown that conditional exogeneity is necessary for valid structural inference.
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Feasibility of the Fama and French three factor model in explaining returns on the JSE
PG Basiewicz,CJ Auret +1 more
TL;DR: In this paper, the feasibility of the Fama and French (1993) three factor model on the JSE Limited (JSE) to explain the size and value effects was tested.