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From |
Nick Cox <n.j.cox@durham.ac.uk> |

To |
"'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: RE: RE: Question on Dfactor and Gaps in Time Series |

Date |
Mon, 11 Oct 2010 19:09:25 +0100 |

Sorry, no idea. But what's the answer to my question about your data? (A very good convention introduced by William Gould on this list is to refer to commands using - -. Thus -var- is the Stata command of that name. This is (a) easy on the eye (b) a convention that doesn't clash often with other conventions.) Nick n.j.cox@durham.ac.uk Degas Wright Nick, Thanks for your response. I have noted that the VAR command seems to work better with the data than the dfactor model, i.e. the VAR command runs fine over the same data. So if I conduct the following: var (D.(p v ep)) How do I obtain the in sample estimate of D.p? Nick Cox I'd look more closely at the data to see what gaps exist before -tsfill- and whether it actually makes any difference. Weeks are awkward. Stata's weeks are defined so that week 1 of any year begins on 1 January and there are always 52 weeks in any year, the last being 8 or 9 days long. It may be those assumptions doesn't map perfectly on to your data somehow. They don't often correspond to the way that stock markets are reported, I guess. Either way, -dfactor- is bailing out very early, and the most natural thing to do is to look at the data. I doubt that -dfactor- is being dumb, or that its recent introduction to Stata is of consequence here. Degas Wright 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. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: RE: RE: RE: Question on Dfactor and Gaps in Time Series***From:*"Degas Wright" <dwright@cornerstoneadvice.com>

**References**:**st: Question on Dfactor and Gaps in Time Series***From:*"Degas Wright" <dwright@cornerstoneadvice.com>

**st: RE: Question on Dfactor and Gaps in Time Series***From:*Nick Cox <n.j.cox@durham.ac.uk>

**st: RE: RE: Question on Dfactor and Gaps in Time Series***From:*"Degas Wright" <dwright@cornerstoneadvice.com>

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