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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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Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations

TL;DR: In this article, the authors derived the asymptotic distribution of normalized residual empirical autocovariances and autocorrelations under weak assumptions on the noise and proposed new portmanteau statistics.
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Improved Inference in Regression with Overlapping Observations

TL;DR: An improved method for inference in linear regressions with overlapping observations by aggregating the matrix of explanatory variables in a simple way that performs better in finite samples than the methods applied to the original regression that are in common usage.
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Stock market development and economic growth an empirical analysis

TL;DR: In this article, the authors investigated the causal relationship between stock market development and economic growth for Greece for the period 1978-2007 using a vector error correction model (VECM) to investigate the short-run and the long-run relationship between the examined variables applying the Johansen co-integration analysis.
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The Term Structure of Returns: Facts and Theory

TL;DR: In this article, the authors summarize and extend the new literature on the term structure of equity and conclude that short-term equity claims, or dividend strips, have on average significantly higher returns than the aggregate stock market.
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Financial Development and Economic Growth in Poland in Transition: Causality Analysis

TL;DR: In this article, the authors examined the causal relationship between economic growth and financial development in Poland on the basis of quarterly data for the period 2000 Q1-2011 Q4 and concluded that the direction of the causality strongly depends on which particular area of the financial sector is considered.
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