Edition and Imputation of Multiple Time Series Data Generated by Repetitive Surveys

10.6339/JDS.2010.08(4).623

Victor M. Guerrero；Blanca I. Gaspar

Compatibility tests ； mean square error ； missing data ； restricted forecasts ； VAR models

Journal of Data Science

8卷4期（2010 / 10 / 01）

555 - 577

英文

This paper considers the statistical problems of editing and imputing data of multiple time series generated by repetitive surveys. The case under study is that of the Survey of Cattle Slaughter in Mexico's Municipal Abattoirs. The proposed procedure consists of two phases; firstly the data of each abattoir are edited to correct them for gross inconsistencies. Secondly, the missing data are imputed by means of restricted forecasting. This method uses all the historical and current information available for the abattoir, as well as multiple time series models from which efficient estimates of the missing data are obtained. Some empirical examples are shown to illustrate the usefulness of the method in practice.