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

Fernando Jorge Tusell Palmer
Authors registered in the RePEc Author Service: Fernando TUSELL-PALMER

No 1134-8984, BILTOKI from Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística)

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.

Keywords: multiple imputation; time series analysis; Kalman smooth (search for similar items in EconPapers)
Date: 2005
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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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