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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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Journal ArticleDOI
Does the Reserve Bank of Australia follow a forward-looking nonlinear monetary policy rule?
TL;DR: The conventional monetary policy rule describes a simple linear relationship between the domestic interest rate, inflation rate and output gap as mentioned in this paper, and an important extension to this rule is to incorporate the output gap.
Journal ArticleDOI
Information processing and the UK weekend effect: do investors cut their losses on Mondays?
TL;DR: It is found that the pattern of information arrivals into the UK stock market may explain the behaviour of returns, and so it is the arrival and not the processing of news that is most important.
Journal ArticleDOI
Estimation of weak ARMA models with regime changes
TL;DR: In this paper, the asymptotic properties of the least square estimator (LSE) of autoregressive moving-average (ARMA) models with regime changes under the assumption that the errors are uncorrelated but not necessarily independent.
DissertationDOI
Supervised and unsupervised model-based clustering with variable selection
TL;DR: The thesis tackles the problem of uncovering hidden structures in high-dimensional data in the presence of noise and non informative variables with a supervised and an unsupervised mixture models that select the relevant variables and are robust to measurement errors and outliers.
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Multivariate trend comparisons between autocorrelated climate series with general trend regressors
TL;DR: This article extended the Vogelsang-franses approach to allow general deterministic regressors including the case where a step-change in the mean occurs at a known date and derive an asymptotic approximation that can be used to simulate critical values.