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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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Men in Grey Suits: Shark Activity and Congestion of the Surfing Commons
TL;DR: In this paper, the authors explore the process through which nature, by establishing conditions conducive (or not) to the presence of sharks, shapes the baseline level of exploitation by surfers of the common-pool resource represented by surf breaks.
Journal Article
Estimating the marginal law of a time series with applications to heavy-tailed distributions
TL;DR: In this paper, an estimator obtained by maximization of the "quasi-marginal" likelihood is proposed, which is a likelihood written as if the observations were independent.
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Bootstrap HAC Tests for Ordinary Least Squares Regression
TL;DR: In this paper, a method that uses the moving block bootstrap and quasi-estimators in order to derive a consistent estimator of the asymptotic covariance matrix for the OLS estimators and robust significance tests is proposed.
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What determines the Japanese firm investments: real or financial?
TL;DR: In this article, the real and financial frictions in the Japanese firm investments using structural approach are analyzed simultaneously, where the real represents the nonconvex capital adjustment costs, and the financial means the financing constraints.
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Does central bank communication affect bank risk-taking?
G. C. Montes,A. Scarpari +1 more
TL;DR: In this article, the authors examined whether bank risk-taking is influenced by monetary policies as well as by communication policies of a central bank and found that central bank communication influences the behaviour of banks once their risk perceptions are affected.