In this paper we develop some statistical theory for factor models of large dimensions. The focus is the determination of the number of factors, which is an unresolved issue in the rapidly growing literature on multifactor models. We propose a panel C_p criterion and show that the number of...

We introduce a method that relies exclusively on Monte Carlo simulation in order to compute optimal portfolios. Our method is completely general and only requires complete markets and knowledge of the dynamics of the security processes. It is precise and easy to implement. It can be applied...

In the paper the endogenous trade model follows the Grosman and Helpman (1994 y 1995) tradition. The structure of the economy is characterised by a specific factor trade model and consumers' preferences are quasilinears. Owners of specific factors all are organised in lobby groups and the...

This paper develops a theory why innovation often takes place in new firms that depend overproportionally on external finance usually supplied by specialist intermediaries called venture capitalists. It is argued that innovative projects are characterized by two features: uncertainty that is...

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An important question in applied work is how to bootstrap autoregressive processes involving highly persistent time series of unknown order of integration. In this paper, we show that in many cases of interest in applied work the standard bootstrap algorithm for unrestricted autoregressions...

This paper provides a rationale for a firm to adopt either an integrated or a separated divisional structure, which is based on the interplay between the structure of authority and the costs and benefits of integration vis-a-vis separation. We use the framework of Aghion and Tirole (1997) to...

This paper models regional earnings and unemployment in the ten regions of Great Britain between 1972 and 1995, paying particular attention to their interaction and to the important influence of the housing market. In contrast to Blanchard and Katz (1992, 1997) for the United States, we find...

Franchising involves a variety of contractual and ownership arrangements within a single company. In recent years, a great deal of effort has been made to understand this increasingly popular organization (Lafontaine, 1992, 1993, and Lafontaine and Slade, 1997). There are at least two stylized...