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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.
References
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Country herding in the global market
TL;DR: Using the tick-by-tick transaction data for 41 stock markets, this article examined whether investors follow each other into and out of the same countries, dubbed country herding, and found that the trend is not limited to the United States.
Field Effects of Consciousness and Reduction in U.S. Urban Murder Rates: Evaluation of a Prospective Quasi-Experiment
TL;DR: In this article, the authors test the hypothesis that group practice of the Transcendental Meditation (TM) and TM-Sidhi program by a group of theoretically predicted size would be sufficient to reduce collective stress in the larger population, as reflected in decreased rates of homicide in a sample of 206 large U.S. urban areas.
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Testing for Equilibrium Multiplicity in Dynamic Markov Games
TL;DR: This article proposed several statistical tests for finite state Markov games to examine the null hypothesis that the data are generated from a single equilibrium, including conditional choice probabilities, steady-state distribution of states, and conditional distributions of states conditional on an initial state.
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Do US consumer survey data help beat the random walk in forecasting mortgage rates
TL;DR: In this article, the authors used the vector autoregressive (VAR) model to forecast the 30-year fixed-rate mortgage rate for 1988-2016 and found that the VAR model outperformed the random walk.
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Import demand in heterogeneous panel data with cross-sectional dependence
Tullio Gregori,Marco Giansoldati +1 more
TL;DR: In this paper, the authors investigate the long run income and price elasticity of import demand functions with a heterogeneous unbalanced panel of 34 countries over the period 1985:q1-2018:q3.