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The quality of traffic services depends on the accuracy and completeness of the collected traffic data. However,the existing traffic data imputation methods usually only rely on the predefined road network structure to capture the spatio-temporal features and only consider the imputation effect from a single perspective, which are very limited for imputation of different missing patterns of road traffic data. In this paper, we propose a novel deep learning framework called Hierarchical Spatio-temporal Graph Convolutional Neural Networks(HSTGCN) to impute traffic data,through the macro layer and the road layer. The model constructs macro graph of the road network based on the data temporal correlation clustering, which can mine the temporal dependencies of road traffic data from a hierarchical perspective. Besides, a temporal attention mechanism and adaptive adjacency matrix are introduced in the road layer to better extract the spatio-temporal information of the road traffic data. Finally, we use graph convolution neural networks to learn the spatio-temporal feature representations of the road layer and macro layer, which are then fused to achieve data imputation. To illustrate the efficient performance of the model, experiments are conducted on traffic data collected from California and Seattle. The proposed model performs better than the comparison model for traffic data imputation. • A full dynamic graph is built based on the urban road structure. • Extracting spatio-temporal features from multiple dimensions using hierarchical thinking. • Gate-GCN perform effective feature selection. [ABSTRACT FROM AUTHOR]