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Re: Re: Re: st: gaps in the Hodrick-Prescott filter
From
Elena Quercioli <[email protected]>
To
[email protected]
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 <[email protected]> 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 <[email protected]> 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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