This chapter discusses simulation estimation methods that overcome the computational intractability of classical estimation of limited dependent variable models with flexible correlation structures in the unobservable stochastic terms. These difficulties arise because of the need to evaluate...

An extensive literature in econometrics and in numerical analysis has considered the computationally difficult problem of evaluating the multiple integral representing the probability of a multivariate normal random vector constrained to lie in a rectangular region. A leading case of such an...

This paper discusses estimation methods for limited dependent variable (LDV) models that employ Monte Carlo simulation techniques to overcome computational problems in such models. These difficulties take the form of high dimensional integrals that need to be calculated repeatedly but cannot be...

In this paper we propose a modelling approach for labor supply and consumption decisions that is firmly grounded within a utility maximizing framework and allows for a role of such institutional constraints as limited access to borrowing and involuntary unemployment. We report estimations for a...

This paper considers a dual approach to the problem of maximizing lifetime utility subject to liquidity constraints in a discrete time setting. These constraints prohibit the decision maker from borrowing against future endowment income. The dual approach allows us to exploit directly the...