Missing Observations: A Simultaneous Approach versus Interpolation by Related Series

Article type: Research Article

Authors: Lanning, Steven G.^{a; *}

Affiliations: [a] University of Notre Dame

Correspondence: [*] Address correspondence to Professor Steven G. Lanning, Department of Finance, University of Notre Dame, Notre Dame, Indiana 46556.

Abstract: The simultaneous estimation of missing obseroations with the parameters of a model is compared to separately interpolating existing data by application of related series to estimate missing obseroations prior to estimation of model parameters. Missing obseroations are simulated on a complete time series. The basis of the comparison is the deviations between estimates of model parameters when no obseroations are missing and estimates of the same model parameters when the simulated missing obseroations are estimated. No support for favoring the simultaneous approach over the two-step interpolation approach is found.

DOI: 10.3233/JEM-1986-14206

Journal: Journal of Economic and Social Measurement, vol. 14, no. 2, pp. 155-163, 1986