This Book Set consists of: *9781780525242 - Missing Data Methods:
Cross-sectional Methods and Applications (Part A) *9781780525266 -
Missing Data Methods: Time-series Methods and Applications (Part B)
The papers in this volume cover topics in the econometric approach
to missing data problems. Data can be missing because an individual
failed to answer a question or because the laws of nature imply
that an individual can only follow one of several possible paths.
We refer to the first case as one of missing observations and to
the second case as one of unobserved outcomes. This volume reflects
the fact that econometricians have been very active in the
development and use of methods for unobserved outcomes. The huge
interest in these methods caused the volume to be split into parts
A and B. The 12 chapters in Part A discuss cross-sectional methods.
All the papers either derive, survey, or evaluate new methods for
handling missing-data problems. Per the current interest in
econometrics, 11 of the 12 papers address unobserved-outcome
problems. The 4 chapters in Part B discuss time-series methods. Two
chapters comprehensively survey the use of Markov switching models
in finance. The third chapter surveys discrete-time and
continuous-time models for volatility. The fourth chapter derives a
new imputation method for nonstationary panel-data models and
compares it to existing methods.
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