a simple estimator for simultaneous models with censored endogenous reggressors this paper presents a simple two step estimator for models with censored endogenous regressors and sample selection bias the approach unifies the literature on censored endogenous regressors and sample selection bias and provides extensions the procedure employs generalized residuals to adjust for the inconsistency caused by the endogeneity of the censored regressors the paper also provides two new tests of weak exogeneity an empirical example examining the trade off between fringe benefits and wages indicates that the estimation procedure works well a monte carlo experiment suggests that the proposed tests have good power properties copyright 1993 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

consumer knowledge food label use and grain consumption in the us responding to mounting evidence of the association between whole grain consumption and a reduced risk of heart problems and other diseases as well as an increased probability of body weight maintenance the us government has strongly encouraged its citizens to increase consumption of whole grains however compared against the 2005 federal dietary recommendations in 1994 1996 only 6 of americans met the current recommended whole grain consumption to narrow this huge gap between actual and recommended consumption of whole grains considerable changes in consumer behaviour will be needed a demand system with two censored consumption equations and endogenous food label use and nutrition knowledge variables is estimated to investigate the factors that affect the consumption of whole and refined grains food label use and nutrition knowledge are found to play important roles in the consumption of refined and whole grain products as are sociodemographic variables the results can be used to help develop

a probit latent variable model of nutrition information and dietary fiber intake nutrition information and intake data for a sample of u s household meal planners are used to estimate the effects of fiber specific information on dietary fiber intake the information variables are measured using survey questions on fiber content of foods attitude toward consuming fiber rich foods and awareness of fiber health links the evidence confirms the influence of nutrition information on fiber intake household income meal planner age smoking status vegetarian status race and ethnicity are major determinants of both information and intake education exerts a sizable intake effect by enhancing the information level direct and indirect effects of exogenous variables are reported

what drives bank securitisation the spanish experience abstract this paper analyses the reasons why spanish banks securitised in the period 2000 2007 on such a large scale that spain has become the european country with the second largest issuance volume after the uk the results obtained by applying a logistic regression model to a sample of 408 observations indicate that liquidity and the search for improved performance are the decisive factors in securitisation we find no evidence to support hypotheses regarding credit risk transfer and regulatory capital arbitrage our study also presents a more detailed analysis that differentiates between asset and liability securitisation programmes

information health risk beliefs and the demand for fats and oils mean and variance measures of health information about cholesterol and saturated fat are included in a demand system for fats and oils a bayesian model of health risk belief and consumer awareness surveys are the basis for computing these measures the empirical demand model shows that health information has resulted in significant increases in consumption for corn cottonseed and soybean oils and decreased consumption for butter and lard the predicted demand effects based on the bayesian information model are more reasonable than predictions from using either a time trend or a simple cumulative cholesterol information index copyright 1995 by mit press

health behavior health knowledge and schooling the positive correlation between schooling and good health is well documented one explanation is that schooling helps people choose healthier life styles by improving their knowledge of the relationship between health behaviors and health outcomes that is schooling improves the household s allocative efficiency in producing health this empirical study uses direct measures of health knowledge to test this explanation part of the relationship between schooling and the consumption of cigarettes alcohol and exercise is explained by differences in health knowledge however most of schooling s effects on health behavior remain after differences in knowledge are controlled for

socioeconomic factors affecting dietary status an appraisal this paper is to identify selected studies which have contributed to the present knowledge on socioeconomic characteristics of households and dietary status studies of the socioeconomic factors influencing dietary status have undergone significant change in recent years because of developments in statistics and household decision theory in the latter case households utilize various inputs for example food as purchased and the labor of household members to produce diets with varying features including nutrient compositions as indicated by the work of basiotis et al 1983 blanciforti green and lane davis et al 1982b sanderson and sexauer this framework provides a systematic rationale for the incorporation of socioeconomic variables into integrated statistical analyses of food consumption and dietary status more specifically the scope of traditional consumer demand theory has been significantly increased by household economic decision theory in addition permitting explicit incorporation of socioeconomic variables in engel and full demand systems this theory makes a plausible linkage between food intake and dietary status since household economics merely extends rather than refutes the intrinsic utility maximization properties of traditional demand theory the engel and demand systems relationships postulated linking socioeconomic characteristics food expenditure and dietary status are admitted by the theory stigler and b cker as will be demonstrated research results are accumulating on household size household income and expenditure nutrient levels in household food supplies and individual diets efficiency of food use away from home food consumption and use of convenience foods however studies of the relationship between socioeconomic characteristics of households and or individuals and nutrient availability and or dietary intake levels have produced varyingly conclusive results among other factors these varying results can be attributed to a different measures of diet quality and b differences in individual food intake versus food disappearance data further diet quality has been assessed directly units of nutrients available or consumed as well as indirectly expenditure levels on food the dietary components studied most frequently are food energy protein calcium iron vitamins a and c riboflavin thiamin and niacin however recently studies have given less attention to thiamin riboflavin niacin and vitamin c and instead have investigated vitamin b6 and magnesium in the near future this list of target dietary components will probably include cholesterol sodium dietary fiber zinc and copper this extension will occur for two reasons a consumer interest in these dietary components and b availability of survey data on these dietary components e g the u s department of agriculture s usda 1985 continuing survey of food intake by individuals and the 1987 88 nationwide food consumption sur

private equity and regulatory capital regulatory capital requirements for european banks have been put forward in the basel ii capital framework and subsequently in the capital requirements directive crd of the eu we provide a detailed discussion of the capital requirements for private equity investments under different approaches for the internal model approach we present a structural model that we calibrate to a proprietary dataset we modify the standard merton structural model to make it applicable in practice and to capture stylized facts of private equity investments we also implement the early default feature with a fast simulation algorithm our results support capital requirements lower than in basel ii but not as low as in crd thereby giving adverse incentives to banks for using advanced risk models a sensitivity analysis shows that this finding is robust to parameter uncertainty and stress scenarios

a barrier option framework for corporate security valuation abstract this paper proposes a framework for corporate security valuation based on path dependent barrier option models instead of the commonly used path independent approach we argue that path dependency is an intrinsic and fundamental characteristic of corporate securities because equity can be knocked out whenever a legally binding barrier is breached a direct implication of this framework is that equity will be priced as a down and out call option we provide empirical validation of the barrier model by showing that implied barriers are statistically and economically significant for a large cross section of industrial firms additional robustness tests confirm that barriers remain significant over a wide range of input variable estimates and finally we apply the barrier option framework to bankruptcy prediction and find that implied failure probabilities dominate z scores in most cases

consumer knowledge and meat consumption at home and away from home we investigate the roles of consumer knowledge and sociodemographic factors in the consumption of meat products at home and away from home censored dependent variables and endogenous dietary knowledge are accommodated by developing and estimating a simultaneous equations system results suggest endogeneity of knowledge and support the system approach to demand functions for meat products dietary knowledge decreases consumption of beef and pork at home and away from home but does not affect poultry or fish consumption in either location men eat more meat and fish than women meat consumption declines with age and regional and racial ethnic differences are present published by elsevier ltd

model risk and capital reserves abstract we propose a procedure to take model risk into account in the computation of capital reserves this addresses the need to make the allocation of capital reserves to positions in given markets dependent on the extent to which reliable models are available the proposed procedure can be used in combination with any of the standard risk measures such as value at risk and expected shortfall we assume that models are obtained by usual econometric methods which allows us to distinguish between estimation risk and misspecification risk we discuss an additional source of risk which we refer to as identification risk by way of illustration we carry out calculations for equity and fx data sets in both markets estimation risk and misspecification risk together explain about half of the multiplication factors employed by the bank for international settlements bis

venture capital funds flow performance relationship and performance persistence this paper finds that venture capital funds that are expected to be backed by more skilled investors show no performance persistence but a significant flow performance relationship in contrast funds that are expected to be backed by less skilled investors show performance predictability and have a non significant flow performance relationship these results suggest that only skilled investors use all available information to adjust their capital allocation and as a result eliminate performance predictability as argued theoretically by berk and green 2004 results also show that kaplan and schoar 2005 overstate the persistence in fund performance by not using an ex ante measure of the performance of earlier funds whether or not an ex ante measure is used however the persistence is largely due to unsophisticated investors when investors are sophisticated the performance of earlier funds sequence and fund size do not help predict the performance of the focal fund

information endogeneity and consumer health behaviour application to dietary intakes due to heightened public health interest a growing number of consumer health behaviour studies are focusing on the effect of health information on the demand for health inputs and outcomes many of these studies however have overlooked the potential endogeneity of information variables stemming from unobserved individual heterogeneity due to simultaneity bias ignoring endogeneity may lead to inaccurate estimates of informational effects on health behaviour using dietary intake data for fat saturated fat cholesterol and fibre this paper illustrates the pitfalls of treating health information related to these nutrients as exogenous variables in their demand equations in most of the estimated models the exogeneity of information is statistically rejected when the information variables are treated as exogenous variables their effects on dietary intakes are underestimated the estimated effects of key intake determinants such as income education ethnicity and race are also different in such a

efficiency evaluation of chinese regional industrial systems with undesirable factors using a two stage slacks based measure approach abstract the process of a regional industrial system in china can be separated into two internal stages production stage and pollutant abatement stage this paper aims to examine the efficiency of chinese regional industrial systems by taking the operational performance of its two internal stages into consideration unlike traditional data envelopment analysis models that treat decision making units as black box when measuring their efficiencies with undesirable factors this paper proposes a two stage model based on slacks based measure to evaluate the efficiency of chinese regional industrial systems by decomposing the efficiency into production efficiency and abatement efficiency the proposed model can estimate the efficiencies of the whole regional industrial system its production stage and abatement stage simultaneously the model provides a way of improving performance of a regional industrial system through identifying its inefficient internal stages this can help to find out the main sources of the inefficiency that arise from the internal stages within the system which cannot be done by using conventional environmental data envelopment analysis models findings resulting from the model application show that there are great disparities in regional industrial systems efficiencies and the inefficiency of chinese industrial system is largely driven by the abatement stage

term structures of credit spreads with incomplete accounting information we study the implications of imperfect information for term structures of credit spreads on corporate bonds we suppose that bond investors cannot observe the issuer s assets directly and receive instead only periodic and imperfect accounting reports for a setting in which the assets of the firm are a geometric brownian motion until informed equityholders optimally liquidate we derive the conditional distribution of the assets given accounting data and survivorship contrary to the perfect information case there exists a default arrival intensity process that intensity is calculated in terms of the conditional distribution of assets credit yield spreads are characterized in terms of accounting information generalizations are provided

the effect of leverage on the cost of capital of us buyouts abstract this paper addresses the problem to assess the effect of leverage on the cost of capital for buyout performance analyses it draws on a unique and proprietary set of data on 133 us buyouts between 1984 and 2004 for each of them we determine a public market equivalent that matches it with respect to its timing and its systematic risk we show that under realistic mimicking conditions the average cost of capital is below the commonly used benchmark s p 500 thereby we control for two important aspects for the risks taken by lenders in the buyout transactions which affects the sponsors risks and for the corresponding cost of debt which lowers the return of the public market equivalent only with borrowing and lending at the risk free rate is the average cost of capital close to the average index return this finding is particularly important as existing literature on that topic tends to rely on benchmarks without a proper risk adjustment

environmental efficiency and abatement cost of china s industrial sectors based on a three stage data envelopment analysis abstract china has gained the reputation of global factory due to its phenomenal industrial growth over the past decades at the same time its industrial energy consumption has resulted in serious environmental problems accordingly there is an urgent and critical need to reduce industrial carbon emissions at a minimum cost without hampering the country s economic development the dual targets for carbon emission intensity and amount from the 12th five year 2011 2015 plan make it necessary to investigate the environmental efficiency and reduction costs of different sectors this study employs a three stage data envelopment analysis model based on a directional distance function approach with radial and non radial slacks of desirable and undesirable outputs considered to measure the environmental efficiency and marginal co2 emission abatement costs of china s 37 two digit industries during 2005 2014 based on the environmental efficiency and abatement cost of the industrial sectors we reached the following conclusions first the adjusted estimates differ significantly from the results that do not consider the influence of environmental factors and it is essential to consider the heterogeneity of industries in proposing emission reduction strategies in addition the stimuli for the smelting and pressing of metal industries result in cost reduction and the supervision on the top nine emitters and the equipment manufacturing industries should be strengthened finally the industrial sectors with large abatement potential are classified into short term and long term key target industries according to the emission abatement cost analyses

green productivity growth in china s industrial economy abstract this paper uses a directional distance function ddf and the malmquist luenberger productivity index to estimate the changing patterns of green total factor productivity gtfp growth of 38 chinese industrial sectors during the period 1980 2010 unlike the measures of traditional total factor productivity tfp growth the ddf incorporates carbon dioxide emissions as an undesirable output directly into the production technology which credit sectors for simultaneously reducing their emissions and increasing their output our estimates of aggregate and sector level gtfp growth reveal that chinese industry is not yet on the path towards sustainable low carbon growth a dynamic panel data analysis of the determinants of gtfp across sectors is used to identify factors that might rectify this situation including state owned enterprise soe reform the growth of small private enterprises continued openness to foreign investment and higher spending on r d particularly in emission intensive sectors

eco efficiency change in power plants using a slacks based measure for the meta frontier malmquist luenberger productivity index abstract malmquist luenberger index is a popular index deployed for evaluating eco efficiency and productivity change over a certain period when both desirable and undesirable factors are jointly produced in some production processes however conventional data envelopment analysis dea models used for computing this index are unable to distinguish the various technologies employed by the decision making units when heterogeneity exists in the technology the meta frontier malmquist luenberger approach is adopted to evaluate eco efficiency and productivity change over a period when undesirable outputs are incorporated in the analysis of efficiency in this paper a new slacks based dea measure is developed and used to compute the meta frontier malmquist luenberger productivity index this approach is then deployed to evaluate 48 iranian thermal power plants productivity change in three different categories steam gas and combined cycle over an eight year period of restructuring in the power industry this technique enables the calculation of eco efficiency change of thermal power plants operating under different technologies as well as the technology gap ratios and measures the extent to which the efficiency frontiers of individual categories of power plants deviate from the meta frontier the results reveal that the last years of the restructuring period saw a greater rate of productivity growth compared to the initial years and evidence of significant eco efficiency improvements over the period in all the three types of the thermal power plants finally it is expected that the findings in this study aid policy makers and power industry regulators in developing sustainable energy policies towards environmental protection and planning power plant operations

business environment economic agglomeration and job creation around the world based on a comprehensive worldwide firm survey this paper looks at how the business environment and economic agglomeration affect job creation holding constant conventional determinants of firm growth such as firm ownership size and age the analysis finds that economic agglomeration is most important especially modern telecommunications access to export markets concentration of economic activity in large cities and capacity agglomeration the concentration of large firms in a city although the business environment affects job growth less than agglomeration does some elements of the business environment matter such as labor flexibility unionization and local skill levels there is strong heterogeneity in job creation across firm size and age

sustainability assessment of u s manufacturing sectors an economic input output based frontier approach abstract due to increasing concerns related to emerging environmental problems as a result of industrial activities sustainable manufacturing has become a topic of considerable interest worldwide in this study economic input output life cycle assessment eio lca and data envelopment analysis dea a linear programming based mathematical optimization model were integrated to analyze the eco efficiency of manufacturing sectors in the united states this integration was achieved by aggregating different environmental pressures into a single eco efficiency score first greenhouse gas emissions energy use water withdrawals hazardous waste generation and toxic releases of each manufacturing sector were quantified using the eio lca model second an input oriented dea multiplier model was developed third eco efficiency scores and rankings target and performance improvement values of each environmental category were determined finally the sensitivity of each environmental impact category was analyzed analysis results showed that five industrial sectors such as petroleum and coal products manufacturing food manufacturing printing and related support activities ordinance and accessories manufacturing and motor vehicle manufacturing were 100 eco efficient compared to other manufacturing sectors on the other hand approximately 90 of u s manufacturing sectors were found to be inefficient and require significant improvements in their life cycle performance among the environmental impact categories energy use had the highest sensitivity on the eco efficiency of u s manufacturing sectors and therefore improved energy efficiency in industrial processes and successful policy making toward increasing the share of renewable energy utilization were highly recommended

calories obesity and health in oecd countries theoretical models suggest that decisions about diet weight and health status are endogenous within a utility maximization framework in this article we model these behavioural relationships in a fixed effect panel setting using a simultaneous equation system with a view to determining whether economic variables can explain the trends in calorie consumption obesity and health in organization for economic cooperation and development oecd countries and the large differences among the countries the empirical model shows that progress in medical treatment and health expenditure mitigates mortality from diet related diseases despite rising obesity rates while the model accounts for endogeneity and serial correlation results are affected by data limitations