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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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The Parts Are More Than the Whole: Separating Goods and Services to Predict Core Inflation
TL;DR: The authors used a composite model that combines these different sets of explanatory variables to improve upon the inflation forecasts produced by a standard model, which is able to improve the performance of the standard model.
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Housing attributes and Hong Kong real estate prices: a quantile regression analysis
TL;DR: In this article, quantile regression is used to identify how real estate prices respond differently to a change in one unit of housing attribute at different quantiles, allowing specific percentiles of prices to be more influenced by certain housing attributes when compared to other percentiles.
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Consumption Volatility and the Cross-Section of Stock Returns
TL;DR: In this paper, the authors derive and test multi-horizon implications of a consumption-based equilibrium model featuring expected growth and volatility, and show that changes in consumption volatility are the key driver for explaining major asset pricing anomalies across risk horizons.
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Measuring Matching Eciency with Heterogeneous Jobseekers
TL;DR: In this article, the authors developed a framework for measuring matching productivity when the population of jobseekers is heterogeneous, based on the same principles as measuring a Hicks-neutral index of productivity of production.
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The US Treasury floating rate note puzzle: Is there a premium for mark-to-market stability?
TL;DR: In this article, the authors find that floating rate notes (FRNs) trade at a significant premium relative to the prices of Treasury bills and notes, and that this premium is directly related to the near-constant nature of FRN prices and is correlated with measures reflecting investor demand for safe assets.