We consider consistent estimation of regression models in which the exogenous variables are incompletely observed assuming that the response mechanism is random. In the literature on imputed data, several estimators have been proposed which are based on approximations substituted for the missing...

The authors discuss the choice of approximations for unobserved expectations underlying consistent estimators in linear rational expectations models with future expectations. They show how estimators that are more efficient than the commonly used GMM estimators can be obtained if it is assumed...

In this paper we test the empirical implications of a simple pricing model for commodity futures for the marginal process of prices of sugar futures. According to the pricing model, the futures price bias depends linearly on the conditional variance. We find significant coefficients, from...