In this paper, we develop a new asymptotic theory of the long run variance estimator obtained by fitting a vector autoregressive model to the transformed moment processes in a GMM framework. In contrast to the conventional asymptotics where the VAR lag order p goes to infinity but at a slower...

We present an econometric framework for robust pricing based on credible assumptions about consumer behavior. First, we introduce a panel data discrete choice model whose realistic assumptions about consumer behavior result in partial identification of preferences. Next we address the resulting...

A social choice function is robustly implemented if every equilibrium on every type space achieves outcomes consistent with it. We identify a robust monotonicity condition that is necessary and (with mild extra assumptions) sufficient for robust implementation. Robust monotonicity is strictly...

We show that a mechanism that robustly implements optimal outcomes in a one-dimensional supermodular environment continues to robustly implement ε-optimal outcomes in all close-by environments. Robust implementation of ε-optimal outcomes is thus robust to small perturbations of the...

The paper develops a novel testing procedure for hypotheses on deterministic trends in a multivariate trend stationary model. The trends are estimated by the OLS estimator and the long run variance (LRV) matrix is estimated by a series type estimator with carefully selected basis functions....

Revenue management (RM) problems with full probabilistic information are well studied. However, as RM practice spreads to new businesses and industries, there are more and more applications where no or only limited information is available. In that respect, it is highly desirable to develop...

Robust portfolio optimization aims to maximize the worst-case portfolio return given that the asset returns are allowed to vary within a prescribed uncertainty set. If the uncertainty set is not too large, the resulting portfolio performs well under normal market conditions. However, its...