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


From   Elena Quercioli <elena.liquorice@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: Re: st: gaps in the Hodrick-Prescott filter
Date   Sun, 31 Oct 2010 17:05:44 -0400

Good point! Fortunately my data is evenly spaced. It is every single day.
Thank you Elena

On Sun, Oct 31, 2010 at 4:22 PM, Christopher Baum <kit.baum@bc.edu> wrote:
> <>
> 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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