In this paper, I explore ways of recapturing the efficiency property for estimators that rely on simulation. In particular, I show that this can be achieved by exploiting two-step maximum stimulated likelihood (SL) estimation methods that are familiar from classical applications. I also...

This study makes an empirical comparison of estimators for censored equations using Monte Carlo simulation. The underlying data generation process is rarely known in practice. From the viewpoint of regression, both ordinary censoring rule and sample selection rule are logical rules of censoring....

Performance-dependent options are financial derivatives whose payoff depends on the performance of one asset in comparison to a set of benchmark assets. This paper presents a novel approach to the valuation of general performance-dependent options. To this end, a multidimensional Black-Scholes...

The paper further develops, both from the theoretical and numerical points of view the analytical valuation of the American options, initiated by Geske and Johnson (1984) for the American put with no dividend. We present and prove closed form formulas for the value of the Bermudan put and call,...

Maximum likelihood estimation of dynamic latent variable models requires to solve integrals that are not analytically tractable. Numerical approximations represent a possible solution to this problem. We propose to use the Adaptive Gaussian-Hermite (AGH) numerical quadrature approximation for a...

In this paper, we consider a detailed decomposition method for limited dependent variable models. That means, we propose a method to decompose the differential in the (limited dependent) outcome variable between two groups into the contributions of the explanatory variables. We provide a...

There is increasing interest in local foods among consumers in the United States and a rise in offerings of local products in restaurants. We use Zagat survey data and restaurant-specific menu information to estimate factors that influence the availability of New York State (NYS) wine in 1,401...

There has been an increase in interest in local foods among final consumers in the United States, and there has also been a rise in offerings of local products in restaurants. Here we use Zagat Survey data and restaurant-specific menu information to estimate factors that influence the...

The paper analyzes the existence and impact of …nancing constraints as a possibly serious obstacle to innovation by …rms. Direct measures of …nancing constraints are employed using survey data collected by the Banque de France and Eurostat, which overcomes the problems with the traditional...

A common test for spatial dependence in regression analysis with continuous dependent variables is the Moran's I. For limited dependent variable models, the standard definition of a residual breaks down because yi is qualitative. Efforts to correct for potential spatial effects in limited...