This paper addresses M-estimation of conditional mean functions when observations are missing at random. The usual approach of correcting for missing data, when the missing data mechanism is ignorable, is inverse probability weighting. An alternative semiparametric M-estimator which involves...

This contribution studies the application of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models. VAR models have become one of the most applied models for the analysis of multivariate time series. Econometric standard software usually provides parameter estimators that...