Halbert White
From InterSciWiki
Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis R. Kosowski, A. Timmermann, H. White, and R. Wermers: Journal of Finance 61(6):2551 - 2595. 2006.
Compare this with Doyne Farmer Farmer, J D, P Patelli, and I I Zovko. "The Predictive Power of Zero Intelligence in Financial Markets" PNAS USA 102(11) (2005): 2254-2259.
[edit] White's Heteroscedasticity-Consistent Covariance Matrix Estimator
White, Halbert. 1980. A Heteroscedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroscedasticity. Econometrica 48:817-838. See: http://support.sas.com/rnd/app/examples/ets/hetero/index.htm
[edit] On Causal modeling
- H. White and P. Kennedy. 2009. Retrospective Estimation of Causal Effects Through Time, pp. 59-87, in J. Castle and N. Shephard (eds.) The Methodology and Practice of Econometrics: A Festschrift in Honour of David Hendry. Oxford: Oxford University Press.
- H. White and Karim Chalak: Settable Systems: An Extension of Pearl's Causal Model with Optimization, Equilibrium and Learning, forthcoming 2009: Journal of Machine Learning Research.
- K. Chalak and H. White: "An Extended Class of Instrumental Variables for the Estimation of Causal Effects," submitted to Review of Economic Studies. PDF Version: http://weber.ucsd.edu/%7Embacci/white/pub_files/hwcv-sub006.pdf
- H. White and K. Chalak: "Identifying Effects of Endogenous Causes in Nonspearable Systems Using Covariates," submitted to Journal of Econometrics.
