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- Research (8)
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- July 1985 (Revised February 1987)
- Background Note
Autoregressive Models and Autocorrelated Errors
Schleifer, Arthur, Jr. "Autoregressive Models and Autocorrelated Errors." Harvard Business School Background Note 186-032, July 1985. (Revised February 1987.)
- Research Summary
Heteroskedasticity Autocorrelation Consistent Covariance Matrix Estimation with Wavelets
I propose a new HAC estimator based on the wavelet representation of the spectral density. Whereas kernel-based HAC estimators [e.g. Newey West (1987) Andrews (1991)] have a fixed bandwidth, a wavelet estimator has bandwidths that vary across wavelet resolution... View Details
- Research Summary
Optimal Heteroskedasticity Autocorrelation Consistent Covariance Estimators for GMM Weighting Matrices
This paper considers the optimal bias-variance tradeoff for estimators of the long run covariance matrix used to generate GMM weighting matrices in time series contexts. Minimum MSE HAC estimators do not yield minimum MSE GMM estimators. Instead, achieving... View Details
- November 1996
- Article
Localized Autocorrelation Diagnostic Statistic for Sociological Models: Times-series, Network, and Spatial Datasets
By: C. I. Nass and Y. Moon
Nass, C. I., and Y. Moon. "Localized Autocorrelation Diagnostic Statistic for Sociological Models: Times-series, Network, and Spatial Datasets." Sociological Methods & Research 25, no. 2 (November 1996): 223–247.
- Article
Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data
By: K. A. Froot
Keywords: Econometrics; Panel Estimation; Autocorrelation; Heteroskedasticity; Mathematical Methods; Economics
Froot, K. A. "Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data." Journal of Financial and Quantitative Analysis 24, no. 3 (September 1989): 333–355. (Revised from NBER Technical Working Paper No. 62.)
- September – October 2007
- Article
Trading Patterns and Excess Comovement of Stock Returns
By: Robin Greenwood and Nathan Sosner
n April 2000, 30 stocks were replaced in the Nikkei 225 Index. The unusually broad index redefinition allowed for a study of the effects of index-linked trading on the excess comovement of stock returns. A large increase occurred in the correlation of trading volume of... View Details
Greenwood, Robin, and Nathan Sosner. "Trading Patterns and Excess Comovement of Stock Returns." Financial Analysts Journal 63, no. 5 (September–October 2007): 69–81.
- Article
The Global Rise of Democracy: A Network Account
By: Magnus Thor Torfason and Paul Ingram
We examine the influence of an interstate network created by intergovernmental organizations (IGOs) on the global diffusion of democracy. We propose that IGOs facilitate this diffusion by transmitting information between their member states and by interpreting that... View Details
Keywords: International Relations; Networks; Society; Transformation; Power and Influence; Country; Globalization
Torfason, Magnus Thor, and Paul Ingram. "The Global Rise of Democracy: A Network Account." American Sociological Review 75, no. 3 (June 2010): 355–77.
The Global Rise of Democracy
We examine the influence of an interstate network created by intergovernmental organizations (IGOs) on the global diffusion of democracy. We propose that IGOs facilitate democracy’s diffusion by transmitting information between member states and by interpreting... View Details
- Web
Statistical Resources - Research Computing Services
binary models and count data models An introduction to Arellano-Bond model An introduction to Heteroskedasticity and Autocorrelation Consistent estimators An introduction to mixed model An introduction to regressions when dependent... View Details
- 26 Jun 2007
- First Look
First Look: June 26, 2007
replacement, daily index return betas of the additions rose by an average of 0.45, while the index return beta of the deleted stocks fell by an average of 0.63. We predict changes in autocorrelations and cross-serial correlations of... View Details
Keywords: Martha Lagace