Missing data methods : time series methods and applications 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.