Related papers: Prices, Profits, Proxies, and Production
This paper proposes a method for estimating consumer preferences among discrete choices, where the consumer chooses at most one product in a category, but selects from multiple categories in parallel. The consumer's utility is additive in…
Increasing practical interest has been shown in regression problems where the errors, or disturbances, are centred in a way that reflects particular characteristics of the mechanism that generated the data. In economics this occurs in…
Stochastic frontier models have attracted considerable attention due to the incorporation of an inefficiency term in addition to the conventional error term. In this paper, we propose a general estimation framework for panel stochastic…
A pricing principle is introduced for non-attainable $q$-exponential bounded contingent claims in an incomplete Brownian motion market setting. The buyer evaluates the contingent claim under the ``distorted Radon-Nikodym derivative'' and…
We consider heteroscedastic nonparametric regression models, when both the mean function and variance function are unknown and to be estimated with nonparametric approaches. We derive convergence rates of posterior distributions for this…
Productivity is the property that finite prefixes of an infinite constructor term can be computed using a given term rewrite system. Hitherto, productivity has only been considered for orthogonal systems, where non-determinism is not…
A recent literature considers causal inference using noisy proxies for unobserved confounding factors. The proxies are divided into two sets that are independent conditional on the confounders. One set of proxies are `negative control…
This study addresses the interpretable estimation of price bounds in the context of price optimization. In recent years, price-optimization methods have become indispensable for maximizing revenue and profits. However, effective application…
Econometric identification generally relies on orthogonality conditions, which usually state that the random error term is uncorrelated with the explanatory variables. In convex regression, the orthogonality conditions for identification…
The paper introduces benchmark-neutral pricing and hedging for long-term contingent claims. It employs the growth optimal portfolio of the stocks as numeraire and the new benchmark-neutral pricing measure for pricing. For a realistic…
Heterogeneity of economic agents is emphasized in a new trend of macroeconomics. Accordingly the new emerging discipline requires one to replace the production function, one of key ideas in the conventional economics, by an alternative…
We develop a model where firms determine the price at which they sell their differentiable goods, the volume that they produce, and the inputs (types and amounts) that they purchase from other firms. A steady-state production network…
We reverse-engineer the equilibrium construction process of asset prices in order to obtain returns which depend on firm characteristics, possibly in a linear fashion. One key requirement is that agents must have demands that rely…
In this paper we study the pricing and hedging of nonreplicable contingent claims, such as long-term insurance contracts like variable annuities. Our approach is based on the benchmark-neutral pricing framework of Platen (2024), which…
Can stated preferences inform counterfactual analyses of actual choice? This research proposes a novel approach to researchers who have access to both stated choices in hypothetical scenarios and actual choices, matched or unmatched. The…
We establish nonparametric identification of production functions, total factor productivity (TFP), price markups, and firms' output prices and quantities, as well as consumer demand, using firm-level revenue data, without observing output…
I study peer effects that arise from irreversible decisions in the absence of a standard social equilibrium. I model a latent sequence of decisions in continuous time and obtain a closed-form expression for the likelihood, which allows to…
This note revisits the analysis of third-degree price discrimination developed by Bergemann et al. (2015), which characterizes the set of consumer-producer surplus pairs that can be achieved through market segmentation. This was proved by…
This article introduces a novel nonparametric methodology for Generalized Linear Models which combines the strengths of the binary regression and latent variable formulations for categorical data, while overcoming their disadvantages.…
In this paper we propose a solution to the problem of parameter estimation of nonlinearly parameterized regressions--continuous or discrete time--and apply it for system identification and adaptive control. We restrict our attention to…