If missing observations in a panel data set are not missing at random, many widely applied estimators may be inconsistent. In this paper the authors examine empirically several ways to reveal the nature and severity of the selectivity problem due to nonresponse, as well as a number of methods to...

The authors discuss several tests to check for the presence of selectivity bias in estimators based on panel data. One approach to test for selectivity bias is to specify the selection mechanism explicitly and estimate it jointly with the model of interest. Alternatively, one can derive the...

In this paper we propose a bivariate model for the trading intensities of stocks in a particular industry.The model consists of a univariate duration model for trades in either of the stocks and a probit-specification for which of the two stocks is traded.We apply the model to the trading...

Using high frequency data on ten infrequently traded stocks during the year 1999, we measure the information content of a trade and its relation to the trading intensity.While the price impact curve for frequently traded stocks monotonically increases towards the full information price, we find...