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st: Missing values-Times series


From   "Inamo, Jocelyn F. M.D., Ph.D." <Inamo.Jocelyn@mayo.edu>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: Missing values-Times series
Date   Tue, 29 Aug 2006 13:46:21 -0500

Title: Missing values-Times series

Dear STATA Users

I would like to fill the missing values in my time series data shown in the first table, assuming that there is a linear progression between the observed proxy values. Accordingly, I would like to obtain inferred values of Y as shown in the second table.


X       Y      
1       10     
2              
3       50     
4              
5       50     
6              
7              
8       20     
9       40     



Day     Y observed      Y Inferred     
1       10      10     
2               25     
3       50      50     
4               50     
5       50      50     
6               40     
7               30     
8       20      20     
9       40      40     



The most accurate way to do this would be to go to each missing value and to compute a linear equation within the proxy values of Y. I realized that it was more easy to say than to do (for me at least).

The second way would be to use the smoothing commands of stata. I realized that ksm-lowess work pretty well when set with  the smallest bandwidth possible, but I have been unable to recover the inferred values of Y.

Any suggestion?

Thanks
Jocelyn





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