Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent...

When a continuous-time diffusion is observed only at discrete dates, not necessarily close together, the likelihood function of the observations is in most cases not explicitly computable. Researchers have relied on simulations of sample paths in between the observations points, or numerical...

Problems of sample selection arise in the analysis of both experimental and non-experimental data. In clinical trials to evaluate the impact of an intervention on health and mortality, treatment assignment is typically nonrandom in a sample of survivors even if the original assignment is random....

We develop a model for decomposing the covariance structure of panel data on firms into a part due to permanent heterogeneity, a part due to differential histories with unknown ages, and a part due to the evolution of economic shocks to the firm. Our model allows for the endogenous death of...

In this paper, I present a simple characterization of the sample selection bias problem that is also applicable to the conceptually distinct econometric problems that arise from truncated samples and from models with limited dependent variables. The problem of sample selection bias is fit within...

This paper considers the estimation of linear models when group average data from more than one sample is used. Conditions under which OL8 coefficient estimates are consistent are identified. The standard OL8 covariance estimate is shown to be inconsistent and a consistent estimator is proposed....