Working with Time Series Data

Time Series Interpolation

The EXPAND procedure interpolates time series. This section provides a brief summary of the use of PROC EXPAND for different kinds of time series interpolation problems. Most of the issues discussed in this section are explained in greater detail in Chapter 11.

By default, the EXPAND procedure performs interpolation by first fitting cubic spline curves to the available data and then computing needed interpolating values from the fitted spline curves. Other interpolation methods can be requested.

Note that interpolating values of a time series does not add any real information to the data as the interpolation process is not the same process that generated the other (nonmissing) values in the series. While time series interpolation can sometimes be useful, great care is needed in analyzing time series containing interpolated values.

Time Series Interpolation

Interpolating Missing Values

Interpolating to a Higher or Lower Frequency

Interpolating between Stocks and Flows, Levels and Rates