IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Using Multiple Imputation in the Analysis of Incomplete Observations in Finance

  • Paul Kofman
  • Ian G. Sharpe
Registered author(s):

    Incomplete 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. , .

    To 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.

    Article provided by Society for Financial Econometrics in its journal Journal of Financial Econometrics.

    Volume (Year): 1 (2003)
    Issue (Month): 2 ()
    Pages: 216-249

    as
    in new window

    Handle: RePEc:oup:jfinec:v:1:y:2003:i:2:p:216-249
    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/
    Email:


    More information through EDIRC

    Order Information: Web: http://www.oup.co.uk/journals

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:oup:jfinec:v:1:y:2003:i:2:p:216-249. See general information about how to correct material in RePEc.

    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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.