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

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

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Fernando TUSELL PALMER () (Facultad de CC.EE. y Empresariales, Unviersidad del País Vasco.)

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Fernando Tusell-Palmer

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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Paper provided by Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) in its series BILTOKI with number 200503.

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Date of creation: 23 Sep 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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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-09-29 (All new papers)
NEP-ECM-2005-09-29 (Econometrics)
NEP-HEA-2005-09-29 (Health Economics)

References listed on IDEAS
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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. [Downloadable!] (restricted)
J. Durbin, 2002. "A simple and efficient simulation smoother for state space time series analysis," Biometrika, Oxford University Press for Biometrika Trust, vol. 89(3), pages 603-616, August.

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