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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.

Suggested Citation

  • Tusell Palmer, Fernando Jorge, 2005. "Multiple imputation of time series: an application to the construction of historical price indexes," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    • Handle: RePEc:ehu:biltok:5663
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    1. N. Watanabe, 1985. "Note On The Kalman Filter With Estimated Parameters," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(4), pages 269-278, July.
    2. 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.
    3. 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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