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Inference on Vertical Contracts between Manufacturers and Retailers Allowing for Non Linear Pricing and Resale Price Maintenance

Bonnet, Céline; Dubois, Pierre - C.E.P.R. Discussion Papers - 2008

A methodology is presented allowing manufacturers and retailers vertical contracting in their pricing strategies on a differentiated product market to be introduced. This contribution allows price-cost margins to be recovered from estimates of demand parameters both under linear pricing models...

Persistent link: https://www.econbiz.de/10005123651

Two-Part Tariffs versus Linear Pricing Between Manufacturers and Retailers: Empirical Tests on Differentiated Products Markets

Bonnet, Céline; Dubois, Pierre; Simioni, Michel - C.E.P.R. Discussion Papers - 2006

We present a methodology allowing to introduce manufacturers and retailers vertical contracting in their pricing strategies on a differentiated product market. We consider in particular two types of non linear pricing relationships, one where resale price maintenance is used with two part...

Persistent link: https://www.econbiz.de/10005124258

Non Linear Contracting and Endogenous Buyer Power between Manufacturers and Retailers: Empirical Evidence on Food Retailing in France

Bonnet, Céline; Dubois, Pierre - C.E.P.R. Discussion Papers - 2010

We present the first empirical estimation of a structural model taking into account explicitly the endogenous buyer power of downstream players facing two part tariffs contracts offered by the upstream level. We consider vertical contracts between manufacturers and retailers where resale price...

Persistent link: https://www.econbiz.de/10008677239

Challenges and Opportunities for Resource Rich Economies

van der Ploeg, Frederick - C.E.P.R. Discussion Papers - 2006

The political economy of resource rich countries is surveyed. The empirical evidence suggests that countries with a large share of primary exports in GNP have bad growth records and high inequality, especially if the quality of institutions and the rule of law are bad. The economic argument that...

Persistent link: https://www.econbiz.de/10005661592

Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach

Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2004

and sequences of local alternatives, and analyse their asymptotic relative efficiency. We also extend the theory of …

Persistent link: https://www.econbiz.de/10005791800

Interaction Effects in Econometrics

Ozer-Balli, Hatice; Sørensen, Bent E - C.E.P.R. Discussion Papers - 2010

We provide practical advice for applied economists regarding specification and interpretation of linear regression models with interaction terms.

Persistent link: https://www.econbiz.de/10008554222

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2010

Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...

Persistent link: https://www.econbiz.de/10008466351

Common Drifting Volatility in Large Bayesian VARs

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2012

The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...

Persistent link: https://www.econbiz.de/10011083279

Factor Analysis with Large Panels of Volatility Proxies

Ghysels, Eric - C.E.P.R. Discussion Papers - 2014

idiosyncratic errors of the panel. A remarkable result emerges. Under suitable regularity conditions the traditional principal …-sectional driven criteria suffice for consistent estimation of the number of factors, which is different from the traditional panel … data results. Finally, we also show that the panel data estimates improve upon the individual volatility estimates. …

Persistent link: https://www.econbiz.de/10011083764

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Banbura, Marta; Giannone, Domenico; Lenza, Michele - C.E.P.R. Discussion Papers - 2014

This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large...

Persistent link: https://www.econbiz.de/10011084028