This paper proposes a standardized version of Swamy's test of slope homogeneity for panel
data models where the cross section dimension (N) could be large relative to the time series …

In this paper, we study the joint pilot assignment and resource allocation for system energy
efficiency (SEE) maximization in the multi-user and multi-cell massive multi-input multi …

This paper is concerned with testing the time series implications of the capital asset pricing
model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N …

Using the diffusion limit of the discrete-time error correction model of cointegration for risky
assets and geometric Brownian motion for the value of liabilities, we solve the asset-liability …

We study the sample estimation risk of the traditional Sharpe ratio without the restrictive
assumption of normality for return series. We derive analytical results for the approximate …

In this article we propose a nonparametric test for poolability in large dimensional
semiparametric panel data models with cross-section dependence based on the sieve …

We study the finite-sample bias and mean squared error, when properly defined, of the
sample coefficient of variation under a general distribution. We employ a Nagar-type …

I derive the approximate bias and mean squared error of the least squares estimator of the
autoregressive coefficient in a stationary first-order dynamic regression model, with or …

We study the properties of the multi-period-ahead least-squares forecast for the stationary
AR (1) model under a general error distribution. We find that the forecast is unbiased up to O …

We derive the approximate results for two standardized measures of deviation from
normality, namely, the skewness and excess kurtosis coefficients, for a class of econometric …