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Re: st: mgarch with daily data


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: mgarch with daily data
Date   Wed, 21 Nov 2012 15:56:03 +0000

I don't know what advice you are seeking here.

1. Aggregating to weekly misses the fine structure of daily
variations. Perhaps this fine structure would be important to your
project, perhaps not; we really can't tell.

2. Aggregating to weekly -- whether taking averages, or totals, or
whatever -- still requires a decision about your zeros. As William
Buchanan also stressed, you need to be clear on what they mean, which
will have an implication for how best they are aggregated.

Nick

On Wed, Nov 21, 2012 at 3:28 PM, Hiroshi kameyama
<kameyama.hiroshi@gmail.com> wrote:
> Thank you so much.
> What about to use weekly base by converting daily to weekly ?
>
> Kame
>
> 2012/11/21 Nick Cox <njcoxstata@gmail.com>:
>> If I understand you correctly, these zeros are not really zeros, but
>> codes for missing values. I've never used -mgarch- at all, but I would
>> try recoding to missing.
>>
>> See -help mvdecode-.
>>
>> Nick
>>
>> On Wed, Nov 21, 2012 at 2:28 PM, Hiroshi kameyama
>> <kameyama.hiroshi@gmail.com> wrote:
>>
>>> I am not new for Stata, but new for MGARCH.
>>>
>>>  I would like to apply MGARCH.
>>>         The dataset is as follows, daily data.
>>>  But not all days have actual  value, "0" means no trade for this day.
>>>  Can I proceed to apply MGARCH?
>>>
>>> Your suggestion would be greatly appreciated.
>>> Thank you in advance.
>>>
>>> Hiroshi KAMEYAMA
>>> KAGAWA Univ., Japan
>>>
>>>
>>> t       soymeal   soybean                corn            time
>>> 1       0                6.7998916      5.857933           02jul2007
>>> 2       0                6.7824755      5.823046            03jul2007
>>> 3       5.462984              0                    0         04jul2007
>>> 4       5.4493202  6.7872811    5.836272            05jul2007
>>> 6       5.4506092       0                         0        07jul2007
>>> 7       5.4548937       0                         0        08jul2007
>>> 8       0                 6.8046145     5.858647           09jul2007
>>> 9       0                  6.824917     5.877736          10jul2007
>>>
>>> to
>>> 1895
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