We provide numerically reliable analytical expressions for the score of conditionally heteroskedastic dynamic regression models when the conditional distribution is multivariate t. We also derive one-sided and two-sided LM tests for multivariate normality versus multivariate t based on the first...

We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We obtain expressions for the optimal weighting matrices, and discuss as examples an MA(1) estimated as AR(1), an AR(1) estimated as MA(1), and a log-normal...

Multinational enterprises (MNEs) have started to populate also regulated sector. Their linked international activities and credible threats to relocate are then new concerns for regulators. We sutdy a multiprincipal model in which a privately informed MNE (the agent) produces for two countries...

We analyze the design of optimal regulation of a domestic monopolist that also competes in an unregulated foreign market. We show how foreign activities by the regulated firm affect domestic regulation, consumers’ surplus and firm’s profits. Although expansion in unregulated foreign markets...

This paper considers dynamic games in which multiple principals contract sequentially and non-cooperatively with the same agent and provides characterization results useful for applications. Our benchmark model is one of private contracting in which downstream principals do not observe upstream...

This paper studies revenue-maximizing mechanisms for a monopolist who expects her buyers to resell in a secondary market. We consider two modes of resale: the first is to a third party who does not participate in the primary market; the second is inter-bidders resale, where the winner in the...

We illustrate, by means of two examples, why assuming the principals offer simple menus (i.e. collections of payoff-relevant alternatives) as opposed to more general mechanisms may preclude a complete characterization of the set of equilibrium outcomes in certain sequential contracting...