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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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Connecting Optimal Capital Investment and Equity Returns
TL;DR: The authors found that investment returns are highly correlated with the industry portfolio equity returns and that the portion of investment returns orthogonal to equity returns is associated positively with changes in profitability and negatively with lagged differences between equity and investment returns.
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Why Do Small Stock Acquirers Underperform in the Long-Term?
TL;DR: In this article, the authors study the long-term performance of acquirers with respect to their size and method of payment and find that small stock acquirers underperform small cash acquirers by about 12 in the first 12 months following mergers and up to 18 in the next 36 months.
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Testing Uncovered Interest Rate Parity and Term Structure using Three-Regime Threshold Unit Root VECM
Jaya Krishnakumar,David Neto +1 more
TL;DR: In this paper, a three-regime multivariate threshold vector error correction model with a "band of inaction" is formulated to examine the expectation hypothesis of the term structure (EHTS) of interest rates and uncovered interest rate parity (UIRP) for U.S. and Swiss rates.
Journal Article
Revisions to Macroeconomic Data: Ireland and the OECD
Eddie Casey,Diarmaid Smyth +1 more
TL;DR: In this article, the authors examined revisions to Irish quarterly macroeconomic data focusing on growth rates of real GDP as well as the main expenditure components and found that the scale of data revisions, particularly in Ireland, appears to bear some relation to the structure of the traded sector.
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An exploratory analysis of the impact of budget deficits and other factors on the ex post real interest rate yield on tax-free municipal bonds in the United States
TL;DR: In this paper, the authors investigate the impact of the federal budget deficits and other factors, chiefly financial market factors, on the ex post real interest rate yield on high-grade municipal bonds in the United States.