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Missing data in time series: A note on the equivalence of the dummy variable and the skipping approaches

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  • Proietti, Tommaso

Abstract

This note shows the equivalence of the dummy variable approach and the skipping approach for the treatment of missing observations in state space models. The equivalence holds when the coefficient of the dummy variable is considered as a diffuse rather than a fixed effect. The equivalence concerns both likelihood inference and smoothed inferences.

Suggested Citation

  • Proietti, Tommaso, 2008. "Missing data in time series: A note on the equivalence of the dummy variable and the skipping approaches," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 257-264, February.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:3:p:257-264
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    References listed on IDEAS

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    1. Sargan, J D & Drettakis, E G, 1974. "Missing Data in an Autoregressive Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 39-58, February.
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