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...

We present a method that accommodates missing data in longitudinal datasets of the type usually encountered in economic and social applications. The technique uses various extensions of missing at random' assumptions that we customize for dynamic models. Our method, applicable to longitudinal...

We present a method that accommodates missing data in longitudinal datasets of the type usually encountered in economic and social applications. The technique uses various extensions of missing at random' assumptions that we customize for dynamic models. Our method, applicable to longitudinal...

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...