Attrition is the Achilles heel of longitudinal surveys. Drawing on our experience in the Indonesia Family Life Survey, we describe survey design and field strategies that contributed to minimizing attrition over four waves of the survey. The data are used to illustrate the selectivity of...

Missing data are often a problem in social science data. Imputation methods fill in the missing responses and lead, under certain conditions, to valid inference. This article reviews several imputation methods used in the social sciences and discusses advantages and disadvantages of these...

This paper is concerned with the Bayesian estimation of non-linear stochastic differential equations when only discrete observations are available. The estimation is carried out using a tuned MCMC method, in particular a blocked Metropolis-Hastings algorithm, by introducing auxiliary points and...

This paper studies in some detail a class of high frequency based volatility (HEAVY) models.  These models are direct models of daily asset return volatility based on realized measures constructed from high frequency data.  Our analysis identifies that the models have momentum and mean...

This paper provides methods for carrying out likelihood based inference for diffusion driven models, for example discretely observed multivariate diffusions, continuous time stochastic volatility models and counting process models. The diffusions can potentially be non-stationary. Although our...

Empirical studies of the role of non-cognitive skills in driving economic behavior often rely heavily on the assumption that these skills are stable over the relevant time frame. We analyze the change in a specific non-cognitive skill, i.e. locus of control, in order to directly assess the...