In this paper, we study the behaviour of second order pseudo-maximum likelihood estimators under conditional variance misspecification. We first determine sufficient and essentially necessary conditions for such an estimator to be, regardless of the conditional variance (mis)specification,...

This paper complements the results of Hausman and Taylor (1981) and Cornewell, Schmidt and Sickles (1990) and generalizes Park and Simar (1994) by examining the semiparametric efficient estimation of panel models in which the random effects and the regressors have certain patterns of correlation.

Efficiency scores of production units are measured by their distance to an estimated production forntier. Nonparametric DEA estimators are based on a finit sample of observed production units and radial distances are considered. We investigate the consistency and the speed of convergence of...

We analyze the problem of competitive mechanism design within the context of a model of product differentiated oligopoly. In an oligopoly setting, participation by an agent in any one firm's catalog is endogenously determined. This facts leads naturally to a modification of the classical notion...

In this paper we consider a new analytic center cutting plane method in a projective space. We prove the efficiency estimates for the general schemeand show that these results can be used in the analysis of a feasibility problem, the variational inequality problem and the problem of constrained...

The restructuring of electric systems can follow different paradigms that have different impacts. The objective of this paper is to show that Variational Inequalities Problems provide a natural tool for modeling electricity restructuring in a wide range of relevant situations.

The authors examine a variant of the uncapacitated lot-sizing model of Wagner-Within involving sales instead of fixed demands, and lower bounds on stocks. Two extended formulations are presented, as well as a dynamic programming algorithm and a complete description of the convex hull of solutions.

After reviewing some of the basic preprocessins techniques for handling safety stocks and multilevel problems, we discusss a variety of aspects arising particularly in small and large bucket (time period) models such as stars-ups, changeovers, minimum batch sizes, choice of one or two set-ups...

We use a Bivariate VAR model to model and predict the joint evolution of short term and long term interest rates. We introduce a GARCH effect on the innovations of the model in order to account for the changing vlatility of the series. We test the cointegration of the two interest rates, which...

Different equilibrium concepts have been proposed by various authors (Schweppe et al, Hogan, Chao and Peck, Wu et al) to analyse competitive electricity systems. We establish correspondences between these different models though a single framework and provide additional interpretations of these...