Hi Sven, Thank you for your reply! Try this: nulldata 5 # setobs 1 1 --time-series setobs 5 1965-01-05 --time-series series y = 0 y[3] = NA print y series x2 = y(-1) print x I guess it's the date indexing that is the culprit. Best, Igor Igor Pozdeev Visiting Scholar NYU Stern School of Business 44 West 4th Street, 9-66 New York, NY 10012 +1-917-657-1120 www.igorpozdeev.me<http://www.igorpozdeev.me/> From: gretl-devel-bounces(a)lists.wfu.edu <gretl-devel-bounces(a)lists.wfu.edu&gt; On Behalf Of Sven Schreiber Sent: Friday, October 26, 2018 10:22 AM To: gretl-devel(a)lists.wfu.edu Subject: Re: [Gretl-devel] missing values being forward-filled in lagged variables Am 26.10.2018 um 10:08 schrieb Pozdeev, Igor: This looks like a feature but is a bug by my standards: missing values are being forward-filled when lags are taken of variables. (where "forward-filled" means that the missing value is skipped and the valid entry before/earlier than that is used) Hi, I agree it would be a pretty hefty bug. However, I cannot confirm this so far: <hansl> nulldata 5 setobs 1 1 --time-series series y = 0 y[3] = NA print y series x = y(-1) print x </hansl> This preserves the NA alright. So you would have to tell us exactly how you got your results. thanks, sven

On Fri, 26 Oct 2018, Sven Schreiber wrote: 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 wrong. 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. Allin

Hello Sven and Allin, thank you for your effort. You are the best. Regards, Igor Igor Pozdeev Visiting Scholar NYU Stern School of Business 44 West 4th Street, 9-66 New York, NY 10012 +1-917-657-1120 www.igorpozdeev.me<http://www.igorpozdeev.me/> From: gretl-devel-bounces(a)lists.wfu.edu <gretl-devel-bounces(a)lists.wfu.edu&gt; On Behalf Of Sven Schreiber Sent: Friday, October 26, 2018 4:05 PM To: gretl-devel(a)lists.wfu.edu Subject: Re: [Gretl-devel] missing values being forward-filled in lagged variables Am 26.10.2018 um 15:28 schrieb Allin Cottrell: On Fri, 26 Oct 2018, Sven Schreiber wrote: 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 wrong. Maybe it predates the distinction of daily data without weekends or something? But that's just a wild guess. 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. Yes. 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. Right now it seems plain wrong, yes. thanks, sven