This dissertation, motivated by the experiences of a US-based semiconductor manufacturer, presents an integrated model of incentive problems arising in forecasting and capacity allocation in a multi-plant, multi-product context. The firm studied in this dissertation allocates capacities to the...

This dissertation involves three essays, studying firms' decision-making on marketing mix variables. Specifically, the first essay (Chapter 2) studies the effects of distribution channels on firms' advertising content decision. In many markets, consumers may not have full information of product...

An approximate factor model of high dimension has two key features. First, the idiosyncratic errors are correlated and heteroskedastic over both the cross-section and time dimensions; the correlations and heteroskedasticities are of unknown forms. Second, the number of variables is comparable or...

An approximate factor model of high dimension has two key features. First, the idiosyncratic errors are correlated and heteroskedastic over both the cross-section and time dimensions; the correlations and heteroskedasticities are of unknown forms. Second, the number of variables is comparable or...

This paper considers the maximum likelihood estimation of the panel data models with interactive effects. Motivated in economics and other social sciences, a notable feature of the model is that the explanatory variables are correlated with the unobserved effects. The usual within-group...

This note is intended for researchers who want to use the interactive effects model for empirical modeling. We consider how to estimate interactive effects models when some of the factors and factor loading are observable. Observable factors are common regressors which do not vary across...

Spatial panel data models are widely used in empirical studies. The existing theories of spatial models so far have largely confine the analysis under the assumption of parameters stabilities. This is unduely restrictive, since a large number of studies have well documented the presence of...

This paper considers the estimation and inferential issues of threshold spatial autoregressive model, which is a hybrid of threshold model and spatial autoregressive model. We consider using the quasi maximum likelihood (QML) method to estimate the model. We prove the tightness and the...

Spatial effects and common-shocks effects are of increasing empirical importance. Each type of effect has been analyzed separately in a growing literature. This paper considers a joint modeling of both types. Joint modeling allows one to determine whether one or both of these effects are...

This paper investigates efficient estimation of heterogeneous coefficients in panel data models with common shocks, which have been a particular focus of recent theoretical and empirical literature. We propose a new two-step method to estimate the heterogeneous coefficients. In the first step,...