Missing Data in an Autoregressive Model

DOI10.2307/2526087MaRDI QIDQ4766490zbMATH OpenOpenAlexFDO

Authors

Publication date 1974

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2526087

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited in

(10)

• AUTOREG: A computer program library for dynamic econometric models with autoregressive errors
• Incomplete observations and simultaneous-equations models
• Regression using mixed annual and quarterly data
• Missing observations in ARIMA models: Skipping approach versus additive outlier approach
• Missing data in time series: a note on the equivalence of the dummy variable and the skipping approaches
• A new type of parameter estimation algorithm for missing data problems
• Maximum likelihood estimation of linear SISO models subject to missing output data and missing input data
• Correlation testing in time series, spatial and cross-sectional data
• Parameter estimation for auto-regressive systems with missing observations
• Constructing high frequency economic indicators by imputation

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