Re: [Gretl-devel] our handling of daily data
On Mon, 26 May 2014, Allin Cottrell wrote:
Sven has raised the question of the handling of daily data in gretl;
see the threads starting from
http://lists.wfu.edu/pipermail/gretl-users/2014-May/010037.html
I'm glad of that: it's time we clarified what we do now, and what we
should do in future. (But please note, I'm mostly talking here about
5-day financial-market data; other sorts of daily data might require
different handling.)
Sorry, this is long, but I'd encourage those who work with daily
data to read on...
Thanks, this is very helpful. It'll take me some time to digest, but for
the moment I'll just throw an ideat. At this point, if we really want to
operate in a flexible and relatively general way with daily data series
with arbitrary arrangements of gaps, it may be worthwhile to have a native
hansl function like the gap_filler() function I wrote for the yahoo_get
function package (possibly with generalisations and extensions).
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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