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st: RE: regression where independant var with gaps


From   "Millimet, Daniel" <millimet@mail.smu.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: regression where independant var with gaps
Date   Fri, 15 Jun 2012 16:09:59 +0000

Not unless the DGP underlying the model also has the gaps.  If you fit an AR(1) model to the series where the true DGP has a period as a day, then missing gaps changes the parameter on the lag when the lag represents more than 1 period back.  See some recent blog posts and references by David Giles.

http://davegiles.blogspot.com/2012/04/unit-root-tests-with-missing.html


****************************************************
Daniel L. Millimet, Professor
Department of Economics
Box 0496
SMU
Dallas, TX 75275-0496
phone: 214.768.3269
fax: 214.768.1821
web: http://faculty.smu.edu/millimet
****************************************************


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of tashi lama
Sent: Friday, June 15, 2012 10:55 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: regression where independant var with gaps


Hello all, 

   I have a univariate time series with gaps like following

 

date                      hits

01/01/2011                40

01/02/2011                20

01/03/2011                9

01/06/2011                6

01/10/2011                2

........

 

 

Can I run a regression since the my independant vars have gaps? 

 

Thanx always, 

Tashi  

  		 	   		  
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