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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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Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations
TL;DR: In this paper, a limited-information two-step estimator for models with rational expectations and serially correlated disturbances was proposed. But the estimator greatly extends the area of applicability of McCallum's (1976) instrumental variables approach to rational expectations models.
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Consumption, real exchange rates and the structure of international asset markets
TL;DR: In this article, it was shown that high-frequency fluctuations of consumption and real exchange rates are consistent with unrestricted international trade in risk-free bonds in the US, Japan, France, UK, Italy, Canada and Sweden.
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Long-Horizon Exchange Rate Predictability?
TL;DR: In this article, the authors show that the long-horizon predictability of exchange rates depends on the null hypothesis that is used to generate empirical critical values, and that results are weaker under the null that exchange rates and fundamentals are generated by an unrestricted VAR with no integration restrictions.
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News and Noise in G-7 GDP Announcements
TL;DR: This paper examined the predictability of these revisions using standard statistical tests of whether the preliminary announcement is a rational forecast of the subsequently revised data and found that the degree of predictability varies throughout the G-7.
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Demography and the Long-Run Predictability of the Stock Market
TL;DR: This article provided a simple stochastic OLG model with a cyclical structure which generates cyclical P/E ratios and calibrate the model to roughly fit the cyclical features of historical P /E ratios.