The technique of ANOVA has been widely used in economics and finance where the observations are usually time-dependent but the model itself is treated as independent in time. In this paper, we extend an ANOVA model by relaxing the assumption of independence in time. We further relax the...

Using the Markowitz mean–variance portfolio optimization theory, researchers have shown that the traditional estimated return greatly overestimates the theoretical optimal return, especially when the dimension to sample size ratio p/n is large. Bai et al. (2009) propose a bootstrap-corrected...

Using the Markowitz mean-variance portfolio optimization theory, researchers have shown that the traditional estimated return greatly overestimates the theoretical optimal return, especially when the dimension to sample size ratio is large. Bai, Liu, and Wong (2006,2009a,b) propose...

Studying the characteristics of different income distributions, and compare the differences among different income distributions with respect to geographic regions, and changes over time periods is a very important area in economics. In order to compare the differences among different income...

Studying the characteristics of different income distributions, and compare the differences among different income distributions with respect to geographic regions, and changes over time periods is a very important area in economics. In order to compare the differences among different income...

The technique of ANOVA has widely been used in Economics and Finance where the observations are usually time-dependent but the model itself is treated as independent in time. In this paper, we develop the ANOVA model in which the time dependence assumption is released. We reprise the model with...