We drive the minimum variance quadratic unbiased estimator (MIVQUE) of the variance of the components of a random vector having a compound normal distribution (CND). We show that the MIVQUE converges in probability to a random variable whose distribution is essentially the mixing distribution...

This paper studies under which conditions a cross-section regression yields unbiased estimates of the parameters of an individual dynamic model with fixed effects and individual-specific responses to macro shocks.

The least-absolute-deviations (LAD) estimator for a median- regression model does not satisfy the standard conditions for obtaining asymptotic refinements through use of the bootstrap because the LAD objective function is not smooth. This paper overcomes this problem by smoothing the objective...

In this paper we investigate the relation between expected return and firm size. Starting with the pionnering work of Banz (1981) and Reinganum (1981), this area has been one of the most researched topics in finance over the last 15 years.

A Bayesian approach is presented for nonparametric estimation of an additive regression model with autocorrelated errors.

With overlapping questionnaires design, called split questionnaire design by, the total sample is subdivided, with different sub-sample exposed to different, but overlapping sections of the total qustionnaire. the design is a flexible tool to collect complex data without exhausting the...

This article discusses whether the Japanese government should break up NTT (Nippon Telegraph & Telephone) in 1995, as the U.S. federal government compelled AT&T (American Telephone & Telegram) to break itself into toll and local telephone companies in 1984. The divestiture of NTT has long been a...