We derive some new results on the expectation of quadratic forms in normal and nonnormal variables. Using a nonstochastic operator, we show that the expectation of the product of an arbitrary number of quadratic forms in noncentral normal variables follows a recurrence formula. This formula...

We propose a semiparametric conditional covariance (SCC) estimator that combines the ï¬rst-stage parametric conditional covariance (PCC) estimator with the second-stage nonparametric correction estimator in a multiplicative way. We prove the asymptotic normality of our SCC estimator, propose a...

The purpose of this paper is to examine production decisions under output price uncertainty. Using a nonparametric estimation technique to estimate the first four moments of the unknown price distribution and applying duality, we provide a simple empirical framework for the analysis of supply...

This paper proposes a bias-adjusted version of Breusch and Pagan (1980) Lagrange multiplier (LM) test statistic of error cross-section independence, in the case of panel models with strictly exogenous regressors and normal errors. The exact mean and variance of the test indicator of the LM test...