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st: Question on Dfactor and Gaps in Time Series


From   "Degas Wright" <dwright@cornerstoneadvice.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Question on Dfactor and Gaps in Time Series
Date   Sun, 10 Oct 2010 15:41:54 -0400

Statalist,
I am using the dfactor command and have run into the gap in time series
error. My data is price (p), volume (v) and earnings yield (ep) and I am
trying to develop a dynamic factor model using the dfactor command. My
code is:

tsset
        time variable:  date, 2008w25 to 2010w40
                delta:  1 week

. dfactor(D.(p v ep)=,noconstant)(f=,ar(1/2))
gaps in the time series are not allowed
r(459);

. tsfill,full

tsset
        time variable:  date, 2008w25 to 2010w40
                delta:  1 week

. dfactor(D.(p v ep)=,noconstant)(f=,ar(1/2))
gaps in the time series are not allowed
r(459);

It appears that the dfactor command is not recognizing the tsfill, full
step.  The dfactor is a relatively new command and I did not see
anything regarding the time gap issue and dfactor on the FAQ.

Thank you for your assistance.


Degas A. Wright, CFA
Chief Investment Officer
Decatur Capital Management, Inc.
250 East Ponce De Leon Avenue, Suite 325
Decatur, Georgia  30030
Voice: 404.270.9838
Fax:404.270.9840
Website: www.decaturcapital.com

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