We propose a new model framework to investigate missing-data induced selection bias (SB). Drawing on the missing at random (MAR) and missing not at random (MNAR) taxonomy of the multiple imputation approach, we show that SB is predicated on MNAR and is empirically assessable by sensitivity...

The close relationship between commodity future and cash prices is critical for the effectiveness of risk management and the functioning of price discovery. However, in recent years, commodity futures prices, across the board, have appeared increasingly detached from prices on physical markets....