As one of the biggest challenges in research on recommender systems, the data sparsity issue is mainly caused by the fact that users tend to rate a small proportion of items from the huge number of available items. This issue becomes even more problematic for the neighborhood-based collaborative filtering (CF) methods, as there are even lower numbers of ratings available in the neighborhood of the query item. In this paper, we aim to address the data sparsity issue in the context of neighborhood-based CF. For a given query (user, item), a set of key ratings is first identified by taking the historical information of both the user and the item into account. Then, an auto-adaptive imputation (AutAI) method is proposed to impute the missing values in the set of key ratings. We present a theoretical analysis to show that the proposed imputation method effectively improves the performance of the conventional neighborhood-based CF methods. The experimental results show that our new method of CF with AutAI outperforms six existing recommendation methods in terms of accuracy.