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,...

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...

In this paper we use 2001-2002 urban survey data we collected to analyze demographics, cultural factors, and purchasing behaviors influencing the consumption of fresh milk, yogurt, ice cream, and powered milk in urban areas of China. The data include frequency of consumption by product, location...

The method of simulated scores (MSS) is presented for estimating limited dependent variables models (LDV) with flexible correlation structure in the unobservables. We propose simulators that are continuous in the unknown parameter vectors, and hence standard optimization methods can be used to...

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...

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...