IDEAS home Printed from https://ideas.repec.org/p/upf/upfgen/213.html

Forecasting with missing data: Application to a real case

Author

Listed:
  • Pedro Delicado
  • Ana Justel

Abstract

This paper presents a comparative analysis of linear and mixed models for short term forecasting of a real data series with a high percentage of missing data. Data are the series of significant wave heights registered at regular periods of three hours by a buoy placed in the Bay of Biscay. The series is interpolated with a linear predictor which minimizes the forecast mean square error. The linear models are seasonal ARIMA models and the mixed models have a linear component and a non linear seasonal component. The non linear component is estimated by a non parametric regression of data versus time. Short term forecasts, no more than two days ahead, are of interest because they can be used by the port authorities to notice the fleet. Several models are fitted and compared by their forecasting behavior.

Suggested Citation

  • Pedro Delicado & Ana Justel, 1997. "Forecasting with missing data: Application to a real case," Economics Working Papers 213, Department of Economics and Business, Universitat Pompeu Fabra.
    • Handle: RePEc:upf:upfgen:213
    as

    Download full text from publisher

    File URL: https://econ-papers.upf.edu/papers/213.pdf
    File Function: Whole Paper
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Maravall, Agustín & Peña, Daniel, 1992. "Missing observations and additive outliers in time series models," UC3M Working papers. Economics 2888, Universidad Carlos III de Madrid. Departamento de Economía.
    2. Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339, Elsevier.
    3. Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339, Elsevier.
    4. S. R. Brubacher & G. Tunnicliffe Wilson, 1976. "Interpolating Time Series with Application to the Estimation of Holiday Effects on Electricity Demand," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 25(2), pages 107-116, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Austan Goolsbee & David B. Gross, 1997. "Estimating Adjustment Costs with Data on Heterogeneous Capital Goods," NBER Working Papers 6342, National Bureau of Economic Research, Inc.
    2. Gorton, Gary & Schmid, Frank A., 2000. "Universal banking and the performance of German firms," Journal of Financial Economics, Elsevier, vol. 58(1-2), pages 29-80.
    3. repec:hum:wpaper:sfb649dp2005-019 is not listed on IDEAS
    4. John W. Galbraith, 1999. "Content Horizons For Forecasts Of Economic Time Series," Departmental Working Papers 1999-01, McGill University, Department of Economics.
    5. Gong, X. & van Soest, A.H.O. & Zhang, P., 2000. "Sexual Bias and Household Consumption : A Semiparametic Analysis of Engel curves in Rural China," Other publications TiSEM 896cf4d1-37e5-490b-9e05-4, Tilburg University, School of Economics and Management.
    6. Emmanuel Saez, 2010. "Do Taxpayers Bunch at Kink Points?," American Economic Journal: Economic Policy, American Economic Association, vol. 2(3), pages 180-212, August.
    7. B.U.PARK & Wolfgang HAERDLE, "undated". "Testing increasing dispersion," Statistic und Oekonometrie 9314, Humboldt Universitaet Berlin.
    8. Dora L. Costa, 1999. "American Living Standards: Evidence from Recreational Expenditures," NBER Working Papers 7148, National Bureau of Economic Research, Inc.
    9. Gomez, Victor & Maravall, Agustin & Pena, Daniel, 1998. "Missing observations in ARIMA models: Skipping approach versus additive outlier approach," Journal of Econometrics, Elsevier, vol. 88(2), pages 341-363, November.
    10. Miles Corak & Andrew Heisz, 1999. "The Intergenerational Earnings and Income Mobility of Canadian Men: Evidence from Longitudinal Income Tax Data," Journal of Human Resources, University of Wisconsin Press, vol. 34(3), pages 504-533.
    11. Alexandra L. Minicozzi, 2003. "Estimation of sons' intergenerational earnings mobility in the presence of censoring," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 291-314.
    12. Cristian Aedo, "undated". "The Impact of Training Policies in Latin America and the Caribbean: The Case of "Programa Joven"," ILADES-UAH Working Papers inv131, Universidad Alberto Hurtado/School of Economics and Business.
    13. Yannis M. Ioannides & Henry G. Overman, 2000. "Zipf's Law for Cities: An Explanation," Discussion Papers Series, Department of Economics, Tufts University 0006, Department of Economics, Tufts University.
    14. Easterly, William, 1999. "Life during growth : international evidence on quality of life and per capita income," Policy Research Working Paper Series 2110, The World Bank.
    15. J. S. Marron & Frederic Udina, 1995. "Interactive local bandwidth choice," Economics Working Papers 109, Department of Economics and Business, Universitat Pompeu Fabra.
    16. Rand Wilcox, 2006. "Confidence intervals for prediction intervals," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 317-326.
    17. Christopher T. Downing, 1999. "Nonparametric Estimation of Multifactor Continuous Time Interest-Rate Models," Computing in Economics and Finance 1999 111, Society for Computational Economics.
    18. Burak Saltoglu, 2003. "Comparing forecasting ability of parametric and non-parametric methods: an application with Canadian monthly interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 169-176.
    19. Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2008. "Semiparametric diffusion estimation and application to a stock market index," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 81-92.
    20. Delicado, Pedro, 1995. "Predicción con datos faltantes: aplicación a un caso real," DES - Documentos de Trabajo. Estadística y Econometría. DS 3583, Universidad Carlos III de Madrid. Departamento de Estadística.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:upf:upfgen:213. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge The email address of this maintainer does not seem to be valid anymore. Please ask the person in charge to update the entry or send us the correct address (email available below). General contact details of provider: http://www.upf.edu/en/web/econ/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.