The estimation of missing observations in related time series data: Further results

Earlier work has provided an efficient method for the prediction of missing data in a dependent variable series using a system of grouped regression equations. This paper extends the previous literature in two ways. First, a test statistic capable of indicating the advantage of the grouped procedure is derived. Second, it is demonstrated through an empirical application that the most prevalent methodology used for examining the impact of financial economic events is a special case of the missing data estimation problem.