Skip Navigation

This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Kofman, P.
Right arrow Articles by Sharpe, I. G.
Right arrow Search for Related Content
Related Collections
Right arrow C31 - Cross-Sectional Models; Spatial Models; Treatment Effect Models
Right arrow G10 - General
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Journal of Financial Econometrics Vol. 1, No. 2, pp. 216-249
© Oxford University Press

Using Multiple Imputation in the Analysis of Incomplete Observations in Finance

Paul Kofman1,* and Ian G. Sharpe2
     1 University of Melbourne
     2 University of New South Wales

June 19, 2001; June 10, 2002; March 6, 2003

Incomplete observations are a common feature of financial applications that use survey response, annual report, and proprietary banking and security issue and pricing data. Finance researchers use a variety of procedures, including deleting offending observations and imputing ad hoc values, that potentially fail to deliver efficient and unbiased parameter estimates. This article examines the application of a statistical framework, multiple imputation methods, that minimizes incomplete data problems if the missingness satisfies certain criteria. When applied to two financial datasets involving severe data incompleteness, the imputation methods outperform the ad hoc approaches commonly used in the finance literature.

KEYWORDS: incomplete data, multiple imputation


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.