We propose a consumption-based capital asset pricing model in which the representative agent's preferences display state-dependent risk aversion. We obtain a valuation equation in which the vector of excess returns on equity includes both consumption risk as well as the risk associated with...

The paper studies the degree of homogeneity of innovative behavior in order to determine empirically an industry classification of Dutch manufacturing that can be used for policy purposes. We use a two-limit tobit model with sample selection, which explains the decisions by business enterprises...

In this paper, we study the determinants of university dropouts with a longitudinal data set on students' enrollments at the University of Montreal. With a bivariate probit model with selectivity bias, the variables explaining persistence and dropouts are related to the information gathered on...

This paper proposes a method to implement maximum likelihood estimation of the dynamic panel data type 2 and 3 tobit models. The likelihood function involves a two-dimensional indefinite integral evaluated using two-step Gauss-Hermite quadrature. A Monte Carlo study shows that the quadrature...