This paper shows that the LM statistic for testing first order serial correlation in regression models can be computed using the Kalman Filter. It is shown tha.t when there are missing observations, the LM statistic for this tesi is equivalent to the tesi statistic derived by Robinson (1985)...

High nonresponse rates have become a rule in survey sampling. In panel surveys there occur additional sample losses due to panel attrition, which are thought to worsen the bias resulting from initial nonresponse. However, under certain conditions an initial wave nonresponse bias may vanish in...

Hamilton (2017) criticises the Hodrick and Prescott (1981, 1997) filter (HP filter) because of three drawbacks (i. spurious cycles, ii. end-of-sample bias, iii. ad hoc assumptions regarding the smoothing parameter) and proposes a regression filter as an alternative. I demonstrate that Hamilton's...

We develop a new Bayesian estimator that is able to deal with multivariate panel data structure in the presence of spatial correlation. The analysis of panel data introduced here allows us to analyze not only the fixed effect but also the random effect model. This work extends the previous study...

This paper addresses the problem of estimation of a nonparametric regression function from selectively observed data when selection is endogenous. Our approach relies on independence between covariates and selection conditionally on potential outcomes. Endogeneity of regressors is also allowed...

Small area models typically depend on the validity of model assumptions. For example, a commonly used version of the Empirical Best Predictor relies on the Gaussian assumptions of the error terms of the linear mixed model, a feature rarely observed in applications with real data. The present...