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....

Based on the theory of multiple statistical hypothesis testing, we elaborate simultaneous statistical inference methods in dynamic factor models. In particular, we employ structural properties of multivariate chi-squared distributions in order to construct critical regions for vectors of...

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....

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between "in-sample" and "out-of-sample" pseudolikelihoods, which avoids the use of any probability integral transformations. Under...

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...

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...

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...

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...

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...

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,...