Using Multiple Imputation in the Analysis of Incomplete Observations in Finance
AbstractIncomplete observations are a common feature of financial applications that use survey response, annual report, and proprietary banking and security issue and pricing data. Finance researchers use a variety of procedures, including deleting offending observations and imputing ad hoc values, that potentially fail to deliver efficient and unbiased parameter estimates. This article examines the application of a statistical framework, multiple imputation methods, that minimizes incomplete data problems if the missingness satisfies certain criteria. When applied to two financial datasets involving severe data incompleteness, the imputation methods outperform the ad hoc approaches commonly used in the finance literature. , .
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Society for Financial Econometrics in its journal Journal of Financial Econometrics.
Volume (Year): 1 (2003)
Issue (Month): 2 ()
Contact details of provider:
Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK
Fax: 01865 267 985
Web page: http://jfec.oxfordjournals.org/
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Tinashe Harry Dumile Kambadza & Zivanemoyo Chinzara, 2012. "Returns Correlation Structure and Volatility Spillovers Among the Major African Stock Markets," Working Papers 305, Economic Research Southern Africa.
- Nikolaus Hautsch & Fuyu Yang, 2014. "Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth," University of East Anglia Applied and Financial Economics Working Paper Series 056, School of Economics, University of East Anglia, Norwich, UK..
- Abul Shamsuddin & Jae H. Kim, 2010.
"Short-Horizon Return Predictability in International Equity Markets,"
The Financial Review,
Eastern Finance Association, vol. 45(2), pages 469-484, 05.
- Abul Shamsuddin & Jae H Kim, 2009. "Short-Horizon Return Predictability in International Equity Markets," Working Papers 2009.01, School of Economics, La Trobe University.
- Cristina Barceló, 2008. "The impact of alternative imputation methods on the measurement of income and wealth: Evidence from the Spanish survey of household finances," Banco de Espaï¿½a Working Papers 0829, Banco de Espa�a.
- Giorgio Calzolari & Laura Neri, 2010. "The Method of Simulated Scores for Estimating Multinormal Regression Models with Missing Values," Econometrics Working Papers Archive wp2010_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Catherine Norman, 2009. "Rule of Law and the Resource Curse: Abundance Versus Intensity," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 43(2), pages 183-207, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.