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re: Re: Re: st: gaps in the Hodrick-Prescott filter


From   Christopher Baum <kit.baum@bc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   re: Re: Re: st: gaps in the Hodrick-Prescott filter
Date   Sun, 31 Oct 2010 16:22:15 -0400

<>
Elena said


Nick, Thanks. I had tried that yesterday and it works. Elena

On Sun, Oct 31, 2010 at 10:36 AM, Robert A Yaffee <bob.yaffee@nyu.edu> wrote:
> Elena,
>  You can use multiple imputation to impute the missing values.
> You may interpolate.
>  Alternatively,  you can set up a time variables such as
> gen time = _n


It works, but it is not appropriate unless your observations are evenly spaced in business-daily time (e.g. corresponding to each trading day, or each Wednesday, or whatever). If they are not, application of any standard time-series commands makes little sense--for instance, estimation of a first-order autocorrelation coefficient where the previous period might be one day or one week prior is not workable.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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