In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000b) and Saikkonen, Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...

The delisting of brands is frequently used by retailers to strengthen their negotiating position with the manufacturers and suppliers of their product assortment. However, retailers and manufacturers have to consider the risk of potential reactions when customers are faced with a reduced or...

Good corporate reputation is seen as one of the most valuable assets. It is believed to cause a multitude of favorable impacts within different stakeholder groups. As a consequence, a multitude of studies analyzed the relationship between corporate reputation and financial performance. However,...

In general, consumer preferences depend on the context of a decision situation. This paper highlights the context-dependence of substitution behavior in out-of-stock (OOS) situations and provides evidence for the relevance of promotion as essential driver of customers' OOS reactions. We...

We consider the problem of estimating the fractional order of a L´evy process from low frequency historical and options data. An estimation methodology is developed which allows us to treat both estimation and calibration problems in a unified way. The corresponding procedure consists of two...

Out-of-Stock (OOS) is a prevalent problem customers face at the POS. In this paper, we demonstrate both theoretically and empirically how OOS-induced substitution patterns can be explained and predicted by means of context and phantom theory. We further analyze the relevance of promotions, for...

This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...

This note presents sharp inequalities for deviation probability of a general quadratic form of a random vector Xi with finite exponential moments. The obtained deviation bounds are similar to the case of a Gaussian random vector. The results are stated under general conditions and do not suppose...

We suggest a robust form of conditional moment test as a constructive test for func- tional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....

This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....