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 Sample Selection Models Using Gaussian Copulas; Consistent Estimation and Orthogonality; and Likelihood-Based Estimators for Endogenous or Truncated Samples in Standard Stratified Sampling.
List of Contributors.Introduction.Markov Switching Models in Empirical Finance.Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey.Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps.Missing-Data Imputation in Nonstationary Panel Data Models.Missing Data Methods: Time-Series Methods and Applications.Advances in Econometrics.Advances in Econometrics.Copyright page.