[Gretl-users] Re: No date information in b-g.gdt example dataset
Am 13.07.2022 um 14:15 schrieb Riccardo (Jack) Lucchetti:
On Wed, 13 Jul 2022, Sven Schreiber wrote:
> Does anybody know more about this data?
The dataset info sheet reports:
This data set contains daily percentage nominal returns for the
Deutschemark/British Pound exchange rate. The sample period is Jan 3,
1984
to Dec. 31, 1991 for a total of 1974 observations. The original source
is:
Thanks, I should have thought of looking there myself.
The gretl dataset is marked as undated, because although we know the
starting and ending dates, the individual observation dates are not
given and some days are skipped owing to holidays.
Well, it's not really "undated" in gretl's terminology, I think,
because
it comes as a daily time-series dataset. There's also the accompanying
variable "dayskip" which tells you when the previous day (or presumably,
_at least_ the previous day, perhaps two over the weekend) was not a
trading day. Wouldn't it be possible to reconstruct the time information
from there? I mean we have the starting date, and we have gretl's
weekday() function, and because of "dayskip" we know when there's a gap.
OK, so I don't remember the exact current status quo with "gappy time
series" in gretl. For inserting the dates information maybe one would
have to fill the series with NAs, and that would prevent you from using
standard time-series operations and methods. So perhaps you would want
to keep two copies of the dataset, one with the gaps filled and another
one like b-g.gdt with the gaps being ignored.
thanks
sven