Dear John,
 
I“m trying to test for cointegration. I thought that if I use an MA as estimation with last data before each missing, perhaps one or two weeks, it could do the trick. But I can find some week sazonality, since market in a Friday may be more or less active than in a Monday. The fact is that I can't test cointegration with missing, and I wouldn't just delete the unpaired data.
Sugestions?
 
I searched in the list of historical mails of this list and didn't find anything that fits on this case.

Rgds,
Marcus

--- Em ter, 12/8/08, John Frain <frainj@tcd.ie> escreveu:

De: John Frain <frainj@tcd.ie>
Assunto: Re: [R-SIG-Finance] cointegrated series with Data Missing
Para: mvstatistics@yahoo.com.br
Data: Terēa-feira, 12 de Agosto de 2008, 11:00

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 Vinķcius Soares <mvstatistics@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@tcd.ie
mailto:frainj@gmail.com



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