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Re: st: Disabling Kalman filter in arima


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Disabling Kalman filter in arima
Date   Fri, 17 Sep 2010 03:21:38 -0400

Kristian,
   You would do better to temporarily recode your missing values as zero yourself,
while maintaining a missing value vector to tell you which ones are actually missing.
   -Regards,
         Robert

Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: kristian@hefting.dk
Date: Thursday, September 16, 2010 6:13 am
Subject: st: Disabling Kalman filter in arima
To: statalist@hsphsun2.harvard.edu


> Hi all
> 
> Stata uses a Kalman filter to replace missing/unobserved data when fitting
> an arima model. Is there any way to disable this filter so the
> missing/unobserved data is treated as zeros?
> 
> Regards
> Kristian Hefting
> 
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