Re: [Gretl-devel] NA patch for fracdiff functions
On Sat, 20 Jun 2009, Allin Cottrell wrote:
On Sat, 20 Jun 2009, Klein, Christoph wrote:
> the current behaviour of fracdiff when invoked with a series
> containing NAs is to issue an E_DATA error. I propose that in
> this case fracdiff returns a series of NAs. I think returning
> NAs would be more in line with the rest of gretl, but I'm not
> sure. The attached patch changes the fracdiff function in the
> proposed way.
Thanks. Jack's away from home right now; since fracdiff is his
baby I think I'll wait and let him make the judgement on that.
I think Christoph is right in that one NA in the series shouldn't stop
execution. However, since fractional differencing is a one-sided filter, I
think we may happily carry on until the first NA is found; this may be
especially useful if you've got a series where the missing observation is
near the end. I just committed a smoll modification to lib/src/genfuncs.c
to that effect. Please review!
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti