
I'd like to fit an ARMA(1,1) model to some data (Federal Reserve Bank
interest rates) that looks like:


...
30JUN2006, 5.05
03JUL2006, 5.25
04JUL2006, N                  &lt;---- here!
05JUL2006, 5.25
...


One problem is that holidays have that "N" for their data.  As a test, I
tried fitting ARMA(1,1) with and without the holidays deleted.  In other
words, I fit the above data as well as this data:


...
30JUN2006, 5.05
03JUL2006, 5.25
05JUL2006, 5.25
...


and the ARMA coefficients came out different.   My question is: Should I
delete all the holidays from my data file?   What exactly does R do with the
"N" values in the fit for the ARMA coefficients?

As a related question, the weekends don't have entries (since the FRB is
closed on all weekends).  Does the fact that my data is not regularly spaced
pose a problem for ARMA fitting?

Many thanks!
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