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Stahl, Konrad; Strausz, Roland - 2011

Who does, and who should initiate costly certification by a third party under asymmetric quality information, the buyer or the seller? Our answer - the seller - follows from a nontrivial analysis revealing a clear intuition. Buyer-induced certification acts as an inspection device,...

Persistent link: https://www.econbiz.de/10010306003

Price Competition with Information Disparities in a Vertically Differentiated Duopoly

Cavaliere, Alberto - 2004

differentiation, informed consumers exert a positive externality on the purchasers of the high quality good as its price decreases … when the share of informed consumers decreases. Considering also that the price of the low quality good increases with the … with pessimistic consumers we can explain demand collapses and insensitivity to price changes due to consumer suspicions …

Persistent link: https://www.econbiz.de/10011324907

The singularity of the efficiency bound of the mixed proportional hazard model

Ridder, Geert; Woutersen, Tiemen - 2001

We reconsider the efficiency bound for the semi-parametric Mixed Proportional Hazard (MPH) model with parametric baseline hazard and regression function. This bound was first derived by Hahn (1994). One of his results is that if the baseline hazard is Weibull, the efficiency bound is singular,...

Persistent link: https://www.econbiz.de/10010291982

The singularity of the information matrix of the mixed proportional hazard model

Ridder, Geert; Woutersen, Tiemen - 2002

Elbers and Ridder (1982) identify the Mixed Proportional Hazard model by assuming that the heterogeneity has finite mean. Under this assumption, the information matrix of the MPH model may be singular. Moreover, the finite mean assumption cannot be tested. This paper proposes a new...

Persistent link: https://www.econbiz.de/10010292025

Estimating euler equations

Attanasio, Orazio; Low, Hamish - 2002

In this paper we consider conditions under which the estimation of a log-linearized Euler equation for consumption yields consistent estimates of preference parameters. When utility is isoelastic and a sample covering a long time period is available, consistent estimates are obtained from the...

Persistent link: https://www.econbiz.de/10010293083

Econometric models of asymmetric ascending auctions

Hong, Han; Shum, Matthew - 2001

We develop econometric models of ascending (English) auctions which allow for both bidder asymmetries as well as common and/or private value components in bidders' underlying valuations We show that the equilibrium inverse bid functions in each round of the auction are implicitly defined...

Persistent link: https://www.econbiz.de/10010293455

A semiparametric estimator for dynamic optimization models, with an application to a milk quota market

Hong, Han; Shum, Matthew - 2001

We develop a new estimation methodology for dynamic optimization models with unobserved state variables Our approach is semiparametric in the sense of not requiring explicit parametric assumptions to be made concerning the distribution of these unobserved state variables We propose a two-step...

Persistent link: https://www.econbiz.de/10010293462

The performance of panel cointegration methods: Results from a large scale simulation study

Wagner, Martin; Hlouskova, Jaroslava - 2007

This paper presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the tests developed in Pedroni (1999, 2004), Westerlund (2005), Larsson, Lyhagen, and Löthgren (2001) and Breitung (2005); and the estimators...

Persistent link: https://www.econbiz.de/10010293988

The spatial random effects and the spatial fixed effects model: The Hausman test in a Cliff and Ord panel model

Mutl, Jan; Pfaffermayr, Michael - 2008

This paper studies the spatial random effects and spatial fixed effects model. The model includes a Cliff and Ord type spatial lag of the dependent variable as well as a spatially lagged one-way error component structure, accounting for both heterogeneity and spatial correlation across units. We...

Persistent link: https://www.econbiz.de/10010294030

Detecting multi-fractal properties in asset returns: The failure of the scaling estimator

Lux, Thomas - 2003

It has become popular recently to apply the multifractal formalism of statistical physics (scaling analysis of structure functions and f(a) singularity spectrum analysis) to financial data. The outcome of such studies is a nonlinear shape of the structure function and a nontrivial behavior of...

Persistent link: https://www.econbiz.de/10010295150

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