Missing variables

[Raul Athwall]

I am regressing a variable on a lot of financial data, which has missing data on weekends. Is there anything I can do with these missing values to produce more reliable results?

[Felix Bittmann]

Multiple imputation is available. For an introduction see https://stats.oarc.ucla.edu/stata/se...stata_pt1_new/

[Raul Athwall]

Thanks Felix. My imputed variable is 'rmrf' which is essentially the UK contemporaneous market excess return. When going through the procedure I am required to add the imputation method. Since 'rmrf' only has missing data on weekends since it is financial data, do you have an idea of what imputation method to use? I am a bit unsure on this