Bootstrap Confidence Intervals for Sequences of Missing Values in Multivariate Time Series

This paper is aimed at deriving some specific-oriented bootstrap confidence intervals for missing sequences of observations in multivariate time series. The procedure is based on a spatial-dynamic model and imputes the missing values using a linear combination of the neighbor contemporary observations and their lagged values. The resampling procedure implements a residual bootstrap approach which is then used to approximate the sampling distribution of the estimators of the missing values. The normal based and the percentile bootstrap confidence intervals have been computed. A Monte Carlo simulation study shows the good empirical coverage performance of the proposal, even in the case of long sequences of missing values.