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Finite Sample Sizes of the GRS Test in the Presence of Dynamic Correlation and Conditional Heteroskedasticity
Grobys, Klaus - 2017
This paper investigates the finite sample properties of the widely-used Gibbons, Ross, Shanken (1989) (GRS) test in the presence of both conditional correlation and conditional heteroskedasticity. It finds that the GRS test exhibits serious size distortions resulting in potentially misleading...
Persistent link: https://www.econbiz.de/10012943966
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Estimating unattenuated correlations with limited information about selection variables : alternatives to case IV
Fife, Dunstin A.; Hunter, Michael D.; Mendoza, Jorge L. - In: Organizational research methods : ORM 19 (2016) 4, pp. 593-615
Persistent link: https://www.econbiz.de/10011584995
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Small sample properties of estimators of non-linear models of covariance structure
Clark, Todd E. - 1995
Persistent link: https://www.econbiz.de/10000907760
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The covariances between sampled autocovariances and between serial correlations for finite realisations for ARUMA time series models
Anderson, O. D.; Gooijer, J. G. de - In: Time series analysis : theory and practice 1 (1981), pp. 7-22
Persistent link: https://www.econbiz.de/10001832058
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Small sample bias in GMM estimation of covariance structures
Altonji, Joseph G. - 1994
Persistent link: https://www.econbiz.de/10000889238
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Small sample bias in GMM estimation of covariance structures
Altonji, Joseph G.; Segal, Lewis M. - 1994
Persistent link: https://www.econbiz.de/10000893251
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Honey, I shrunk the sample covariance matrix
Ledoit, Olivier (contributor); Wolf, Michael (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002055527
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Advances in estimating covariance matrices
Menchero, Jose; Ji, Lei - In: Journal of investment management : JOIM 19 (2021) 3, pp. 60-80
Persistent link: https://www.econbiz.de/10013041084
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A La Recherche Des Moments Perdus : Covariance Models for Unbalanced Panels with Endogenous Death
Abowd, John M.; Crépon, Bruno; Kramarz, Francis; … - 2021
We develop a model for decomposing the covariance structure of panel data on firms into a part due to permanent heterogeneity, a part due to differential histories with unknown ages, and a part due to the evolution of economic shocks to the firm. Our model allows for the endogenous death of...
Persistent link: https://www.econbiz.de/10013221330