BANCO DE ESPAÑA(*) This is a revised version of Chapter 3 of my Ph.D. thesis, Barceló (2003). I wish to thank Manuel Arellano for his comments and excellent supervision, as well as Samuel Bentolila,

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This paper describes the methods used for imputation of the first wave of the Spanish Survey of Household Finances (EFF). It explains the motivation for using multiple imputation and describes its specific features, such as the use of the shadow values that flag each variable of the questionnaire, the different types of covariates used in the imputation models and the means of evaluating both the imputed values and the convergence of the imputation process.

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