Re: [Gretl-devel] our handling of daily data
On Mon, 26 May 2014, Sven Schreiber wrote:
Am 26.05.2014 22:47, schrieb Riccardo (Jack) Lucchetti:
> On Mon, 26 May 2014, Allin Cottrell wrote:
>
>>
>> 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).
>
Forgive my ignorance, but what does gap_filler() do?
Basic, trivial, simplistic, rough data imputation for gaps in daily data,
via several obvious algorithms: repeat latest, linear interpolation and so
on.
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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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