This paper develops a new simulation estimation algorithm that is particularly useful for estimating dynamic panel data models with unobserved endogenous state variables. The new approach can deal with the commonly encountered and widely discussed ``initial conditions problem,'' as well as the...

Much of the statistical analysis for poverty measurement regards the data employed to estimate poverty statistics as error-free observations. However, it is amply recognized that surveys responses are not perfectly reliable and that the quality of the data is often poor, especially for...

The Stock--Watson coincident index and its subsequent extensions assume a static linear one-factor model for the component indicators. Such assumption is restrictive in practice, however, with as few as four indicators. In fact, such assumption is unnecessary if one poses the index construction...