Non-response in dynamic panel data models

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To verify whether data are missing at random (MAR) we need to observe the missing data. There are only two exceptions: when the relationship between the probability of responding and the missing variables is either imposed by introducing untestable assumptions or recovered using additional data sources. In this paper, we briefly review the estimation and test procedures for selectivity in panel data. Furthermore, by extending the MAR definition from a static setting to the case of dynamic panel data models, we prove that some tests for selectivity
are not verifying the MAR condition.
Original languageEnglish
Pages (from-to)461
Number of pages489
JournalJournal of Econometrics
Issue number2
Early online date24 Mar 2005
Publication statusPublished - 1 Sept 2005


  • Dynamic panel model
  • Attrition
  • Nonresponse
  • Missing at random
  • Missing completely at random
  • Statistical model reduction

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