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Multiple imputation of time series: an application to the construction of historical price indexes

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  • Tusell Palmer, Fernando Jorge

Abstract

Time series in many areas of application, and notably in the social sciences, are frequently incomplete. This is particularly annoying when we need to have complete data, for instance to compute indexes as a weighted average of values from a number of time series; whenever a single datum is absent, the index cannot be computed. This paper proposes to deal with such situations by creating multiple completed trajectories, drawing on state space modelling of time series, the simulation smoother and multiple imputation ideas.

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Bibliographic Info

Paper provided by Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) in its series BILTOKI with number 2005-03.

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Date of creation: 2005
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Handle: RePEc:ehu:biltok:200503

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Postal: Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
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Keywords: multiple imputation; time series analysis; Kalman smooth;

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References

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  1. Hamilton, James D., 1986. "A standard error for the estimated state vector of a state-space model," Journal of Econometrics, Elsevier, vol. 33(3), pages 387-397, December.
  2. J. Durbin, 2002. "A simple and efficient simulation smoother for state space time series analysis," Biometrika, Biometrika Trust, vol. 89(3), pages 603-616, August.
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Cited by:
  1. Michael Weber & Michaela Denk, 2011. "Avoid Filling Swiss Cheese with Whipped Cream," IMF Working Papers 11/151, International Monetary Fund.

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