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Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests, With an Application to the PPP Hypothesis; New Results. Working paper
, 1997
"... We examine properties of residualbased tests for the null of no cointegration for dynamic panels in which both the shortrun dynamics and the longrun slope coefficients are permitted to be heterogeneous across individual members of the panel+ The tests also allow for individual heterogeneous fixed ..."
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Cited by 499 (13 self)
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We examine properties of residualbased tests for the null of no cointegration for dynamic panels in which both the shortrun dynamics and the longrun slope coefficients are permitted to be heterogeneous across individual members of the panel+ The tests also allow for individual heterogeneous fixed effects and trend terms, and we consider both pooled within dimension tests and group mean between dimension tests+ We derive limiting distributions for these and show that they are normal and free of nuisance parameters+ We also provide Monte Carlo evidence to demonstrate their small sample size and power performance, and we illustrate their use in testing purchasing power parity for the post–Bretton Woods period+ 1.
Market Efficiency, LongTerm Returns, and Behavioral Finance
, 1998
"... Market efficiency survives the challenge from the literature on longterm return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and postevent continuation of preevent abnor ..."
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Cited by 749 (4 self)
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event abnormal returns is about as frequent as postevent reversal. Most important, consistent with the market efficiency prediction that apparent anomalies can be due to methodology, most longterm return anomalies tend to disappear with reasonable changes in technique.
A Highly Adaptive Distributed Routing Algorithm for Mobile Wireless Networks
, 1997
"... We present a new distributed routing protocol for mobile, multihop, wireless networks. The protocol is one of a family of protocols which we term "link reversal" algorithms. The protocol's reaction is structured as a temporallyordered sequence of diffusing computations; each computat ..."
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Cited by 1095 (6 self)
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We present a new distributed routing protocol for mobile, multihop, wireless networks. The protocol is one of a family of protocols which we term "link reversal" algorithms. The protocol's reaction is structured as a temporallyordered sequence of diffusing computations; each
Liquidity Risk and Expected Stock Returns
, 2002
"... This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related crosssectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individualsto ..."
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Cited by 590 (4 self)
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stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. Over a 34year period, the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by 7.5 % annually, adjusted
Reverse time migration with optimal checkpointing
 Geophysics
, 2007
"... The optimal checkpointing algorithm (Griewank and Walther, 2000) minimizes the computational complexity of the adjoint state method. Applied to reverse time migration, optimal checkpointing eliminates (or at least drastically reduces) the need for disk i/o, which is quite extensive in more straightf ..."
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Cited by 23 (0 self)
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The optimal checkpointing algorithm (Griewank and Walther, 2000) minimizes the computational complexity of the adjoint state method. Applied to reverse time migration, optimal checkpointing eliminates (or at least drastically reduces) the need for disk i/o, which is quite extensive in more
The sources and consequences of embeddedness for the economic performance of organizations: The network effect
 American Sociological Review
, 1996
"... In this paper, I attempt to advance the concept of embeddedness beyond the level of a programmatic statement by developing a formulation that specifies how embeddedness and network structure affect economic action. On the basis of existing theory and original ethnographies of 23 apparel firms, I dev ..."
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Cited by 709 (8 self)
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, however, after which point the positive effect reverses itself. Embeddedness 1
Linear pattern matching algorithms
 IN PROCEEDINGS OF THE 14TH ANNUAL IEEE SYMPOSIUM ON SWITCHING AND AUTOMATA THEORY. IEEE
, 1972
"... In 1970, Knuth, Pratt, and Morris [1] showed how to do basic pattern matching in linear time. Related problems, such as those discussed in [4], have previously been solved by efficient but suboptimal algorithms. In this paper, we introduce an interesting data structure called a bitree. A linear ti ..."
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Cited by 549 (0 self)
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In 1970, Knuth, Pratt, and Morris [1] showed how to do basic pattern matching in linear time. Related problems, such as those discussed in [4], have previously been solved by efficient but suboptimal algorithms. In this paper, we introduce an interesting data structure called a bitree. A linear
Noise Trader Risk in Financial Markets
 Jolurnial of Political Economy
, 1990
"... We present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns. The unpredictability of noise traders ’ beliefs creates a risk in the price of the asset that deters rational ..."
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Cited by 858 (23 self)
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rational investors. The model sheds light on a number of financial anomalies, including the excess volatility of asset prices, the mean reversion of stock returns, the underpricing of closed end mutual funds, and the MehraPrescott equity premium puzzle. 3“If the reader interjects that there must surely
Suffix arrays: A new method for online string searches
, 1991
"... A new and conceptually simple data structure, called a suffix array, for online string searches is introduced in this paper. Constructing and querying suffix arrays is reduced to a sort and search paradigm that employs novel algorithms. The main advantage of suffix arrays over suffix trees is that ..."
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Cited by 827 (0 self)
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is that, in practice, they use three to five times less space. From a complexity standpoint, suffix arrays permit online string searches of the type, "Is W a substring of A?" to be answered in time O(P + log N), where P is the length of W and N is the length of A, which is competitive with (and
Financial Dependence and Growth
 American Economic Review
, 1998
"... This paper examines whether nancial development facilitates economic growth by scrutinizing one rationale for such a relationship; that nancial development reduces the costs of external nance to rms. Speci cally, we ask whether industrial sectors that are relatively more in need of external nance de ..."
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Cited by 1043 (29 self)
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develop disproportionately faster in countries with more developed nancial markets. We nd this to be true in a large sample of countries over the 1980s. We show this result is unlikely to be driven by omitted variables, outliers, or reverse causality. (JEL O4, F3, G1) A large literature, dating at least
Results 11  20
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