We study infinite–horizon, optimal switching problems under a general class of stochastic volatility models that exhibit “fast” mean–reversion by using techniques from homogenisation theory. This leads to perturbation theory, providing closed–form approximations to the full switching problem which is often intractable, both analytically and numerically. We apply our general results to certain, ...

Tournaments: There Is More Than Meets the Eye By the well established tournament literature, incomplete information regarding the employees’ productivity is essential for the rationalization of (efficiency-enhancing) tournaments. In this paper we propose an alternative rationalization of tournaments focusing on a fully informed principal whose objective is to maximize a weighted average of the ...

This paper provides a novel mechanism for identifying and estimating latent group structures in panel data using penalized regression techniques. We focus on linear models where the slope parameters are heterogeneous across groups but homogenous within a group and the group membership is unknown. Two approaches are considered — penalized least squares (PLS) for models without endogenous regress...

Çalışmanın amacı, yükselen bir ekonomi için birleşik çerçevede küreselleşme ve finansal gelişmenin gelir eşitsizliği üzerindeki etkilerini ampirik olarak incelemektir. Küreselleşme etkisini incelemek panel veri analizi yöntemi kullanılmıştır. İlk birimler arasında korelasyonun varlığı, Breusch Pegan (2008) LM testi Pesaran, Ullah Yamagata NLM ile incelenmiştir. Değişkenlerin durağanlıkları CADF...

We propose a strongly convergent algorithm for finding a common point in the solution set of a class of pseudomonotone equilibrium problems and the set of fixed points of nonexpansive mappings in a real Hilbert space. The proposed algorithm uses only one projection and does not require any Lipschitz condition for the bifunctions. AMS 2010 Mathematics subject classification: 65 K10, 65 K15, 90 C...

The asymptotic distribution of all unit root test statistics depend on the deterministic specification of the fitted test regression, which need not be equal to the true one. In time series, this implies that different deterministic specifications have their own critical values, whereas in panels, it implies that different specifications have their own mean and variance correction factors. This...

Maximum Likelihood Estimation and Lagrange Multiplier Tests for Panel Seemingly Unrelated Regressions with Spatial Lag and Spatial Errors: An Application to Hedonic Housing Prices in Paris This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and spatial error components. We study the general case where spatial effects are incorporated...

Stimulating Local Public Employment: Do General Grants Work? The effectiveness of public funds in increasing public employment has long been a question on public and labor economists’ minds. In most federal countries local governments employ large fractions of the working population, meaning that a tool for stimulating local public employment can substantially affect the overall unemployment le...