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From |
"Degas Wright" <dwright@cornerstoneadvice.com> |

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

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

Date |
Mon, 11 Oct 2010 17:27:09 -0400 |

Nick, The data is weekly prices, volume and earnings yield, so missing a week of data is not critical to the model. So I can delete the missing data week and reorder the periods to assume that the missing data point never existed as pointed out by Richard Gates. Thanks, 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 -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox Sent: Monday, October 11, 2010 2:09 PM To: 'statalist@hsphsun2.harvard.edu' Subject: st: RE: RE: RE: Question on Dfactor and Gaps in Time Series 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/ * * 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/

**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>

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

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