Volume 27 of Advances in Econometrics, entitled Missing Data Methods, contains 16 chapters authored by specialists in the field, covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate...

Volume 27 of Advances in Econometrics, entitled Missing Data Methods, contains 16 chapters authored by specialists in the field, covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate...

Nonparametric efficiency analysis has become a widely applied technique to support industrial benchmarking as well as a variety of incentive- based regulation policies. In practice such exercises are often plagued by incomplete knowledge about the correct specifications of inputs and outputs....

Applying a method suggested by Woodruff (1971), we derive the sampling variances of Generalized Entropy and Atkinson inequality indices when estimated from complex survey data. It turns out that this method also greatly simplifies the calculations for the i.i.d. case when compared to previous...

We propose a generalization of the linear quantile regression model to accommodate possibilities afforded by panel data. Specifically, we extend the correlated random coefficients representation of linear quantile regression (e.g., Koenker, 2005; Section 2.6). We show that panel data allows the...

We propose a generalization of the linear quantile regression model to accommodate possibilities afforded by panel data. Specifically, we extend the correlated random coefficients representation of linear quantile regression (e.g., Koenker, 2005; Section 2.6). We show that panel data allows the...

Nonparametric efficiency analysis has become a widely applied technique to support industrial benchmarking as well as a variety of incentive- based regulation policies. In practice such exercises are often plagued by incomplete knowledge about the correct specifications of inputs and outputs....

This paper proposes new GMM estimators for the panel AR(1) model when the ratio of the variance of the individual effects to the variance of the idiosyncratic errors is large. First, we present a necessary condition for large N, fixed T consistency of any Fixed Effects or Random Effects...