[R-SIG-Finance] cointegrated series with Data Missing

[John Frain]

---------- Forwarded message ----------
From: John Frain <frainj at tcd.ie>
Date: 2008/8/12
Subject: Re: [R-SIG-Finance] cointegrated series with Data Missing
To: mvstatistics at yahoo.com.br


It is not clear what you aim to do with the series.  Are you

1) Trying to test for cointegration

2) Estimating a cointegrating relationship

3) Estimating missing values.  If so how are you going to use the
estimates.  Perhaps a) estimate a VECM, b) fill in missing values, c)
reestimate and d) cycle to convergence.

Best Regards

John





2008/8/12 Marcus Vinícius Soares <mvstatistics at yahoo.com.br>:
> Hi there!
>
> First, I´m from Brazil, so sorry for any English mistake.
> I have two cointegrated series with Data Missing in both. They are two finance series, one from USA and another from Brazil, so in holidays here I have data for USA serie and same for holidays in USA.
> I think usual Data Missing thecnics do not apply, since they are time series, and are also cointegrated.
> Can someone help me?
>
> Thanks very much,
>
> Marcus Vinicius
>
>
>
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--
John C Frain
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.htm
mailto:frainj at tcd.ie
mailto:frainj at gmail.com



-- 
John C Frain
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.htm
mailto:frainj at tcd.ie
mailto:frainj at gmail.com