On Fri, 26 Oct 2018, Sven Schreiber wrote:
Am 26.10.2018 um 10:31 schrieb Pozdeev, Igor:
> Hi Sven,
> Thank you for your reply! Try this:
> setobs 5 1965-01-05 --time-series
Confirmed indeed. This seems to affect only daily data (5,6,7), because
quarterly (4), monthly (12), weekly (52), hourly (24) and other frequency
(e.g. 20) all work for me.
Hmm, I've looked into this and it seems that treating dated daily data
specially was by design, though I accept that the design was probably
I think the idea was that for many daily series an NA really means a
non-existent value (e.g. no trading took place) rather than a missing
value in the usual sense. However, if the user reckons a particular
day should be skipped rather then treated as missing, this should
probably be handled in the construction of the primary series and not
at the point of generating its lags.
If we're agreed that what we do at present is wrong, it's easy to fix:
we can just disable the special-casing of dated daily data.