The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Nov, 1984, Volume 52, Issue 6
https://doi.org/0012-9682(198411)52:6<1415:MOITDR>2.0.CO;2-7
p. 1415-1436
F. C. Palm, Th. E. Nijman
We consider the dynamic regression model with lagged endogenous variables and moving average disturbances, when some observations on the endogenous variable are missing. The available data are assumed to be sampled at regular intervals of length m and can be linear combinations of the realizations of the variable over a finite number of periods. We discuss the identification of the parameters in the model. For some selected models, we evaluate the large sample variances of the maximum likelihood (ML) estimates for the incomplete data and complete data respectively. In this way, we get an indication of the loss of information when the data are incomplete. Finally, we give some results for the effects on the properties of the OLS estimator, when the interpolated series are substituted for the missing observations and we briefly discuss ways to obtain ML estimates. Our general conclusion is that when the sample is incomplete it is very important to use all available reliable a priori information to analyze the model.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
