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Re: st: Disabling Kalman filter in arima
From
Robert A Yaffee <[email protected]>
To
[email protected]
Subject
Re: st: Disabling Kalman filter in arima
Date
Fri, 17 Sep 2010 03:21:38 -0400
Kristian,
You would do better to temporarily recode your missing values as zero yourself,
while maintaining a missing value vector to tell you which ones are actually missing.
-Regards,
Robert
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: [email protected]
Date: Thursday, September 16, 2010 6:13 am
Subject: st: Disabling Kalman filter in arima
To: [email protected]
> Hi all
>
> Stata uses a Kalman filter to replace missing/unobserved data when fitting
> an arima model. Is there any way to disable this filter so the
> missing/unobserved data is treated as zeros?
>
> Regards
> Kristian Hefting
>
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