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st: Question on Estimating ARIMA with Gaps in the Series

From   "Andrew H. Sidman" <[email protected]>
To   [email protected]
Subject   st: Question on Estimating ARIMA with Gaps in the Series
Date   Mon, 28 Jan 2008 18:41:33 -0500

Hi all


I have a time series that has gaps.  This variable, for example, has 10 consecutive periods in which the variable is missing. After tsset, I ran the following:


. arima overall2 in 277/320, ar(1)


I get the following note before the output:


Number of gaps in sample:  1

(note: filtering over missing observations)


Does anyone know how Stata filters over the missing observations?  Also, is the filtering method the same regardless of how the missing observations are structured?  For example, does the procedure change if instead of 1 gap of 10 periods, I had 10 gaps of 1 period each?  I have looked in several places and must be missing something.


Thanks for the help.


Andrew H. Sidman

Assistant Professor

Department of Government

John Jay College of Criminal Justice

The City University of New York

445 W. 59th Street

New York, NY 10019

Phone: (646) 557-4613

Fax:   (212) 237-8245

Email: [email protected]



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