The benefits of panel data are well-documented but missing data problems are often more severe. In particular, units that respond in the first wave may drop out of the panel after one or more periods of participation. This paper focuses on identification and Maximum Likelihood estimation of...

In this paper we consider the properties of a simple test of parameter restrictions based on standard two-step efficient GMM estimators. The test is computed simply as the difference between the minimised values of the GMM criterion function in the restricted and unrestricted models. We compare...