This paper derives an analytic closed-form formula for the cumulative distribution function (cdf) of the composite error of the stochastic frontier analysis (SFA) model. Since the presence of a cdf is frequently encountered in the likelihood-based analysis with limited-dependent and qualitative...

Heterogeneity among firms has been an important issue in studying firms’ technical efficiencies. If firms do not randomly fall into different groups with different technologies but by self-selection, statistically it implies the data are subject to the sample selection bias. In this paper, we...

Heckman’s (1976, 1979) sample selection model has been employed in many studies of linear or nonlinear regression applications. It is well known that ignoring the sample selectivity problem may result in inconsistency of the estimator due to the correlation between the statistical errors in...

This paper deals with maximum likelihood estimation with singular systems of equations. We propose to estimate the singular systems by convoluted-likelihood functions. The consistency and asymptotic normality of the estimator are also established.

This paper proposes a nonlinear error-correction model based upon smooth transition regression methodology. The model is specified such that the short-run adjustment toward long-run equilibrium is nonlinear and that the error correction is a smooth function of long-run deviation. Empirical...

By considering a social trade-off between targeting the exchange rate and minimizing intervention costs, nonlinear exchange rate dynamics can be captured by a structural threshold model. This article provides a theory-based empirical exchange rate model and shows how to put the model into an...

In this paper, a switching regression model is developed to analyze farmers' choice behavior and cost efficiency in field plowing arrangement in Taiwan. We find that the decision on the choice of plowing arrangement is determined by a cost comparison between self-plowing and hired-service, and...