st: RE: RE: RE: Question on Dfactor and Gaps in Time Series

[Nick Cox <n.j.cox@durham.ac.uk>]

Sorry, no idea. But what's the answer to my question about your data? 

(A very good convention introduced by William Gould on this list is to refer to commands using - -. Thus -var- is the Stata command of that name. This is (a) easy on the eye (b) a convention that doesn't clash often with other conventions.) 

Nick 
n.j.cox@durham.ac.uk 

Degas Wright

Nick,
Thanks for your response.  I have noted that the VAR command seems to
work better with the data than the dfactor model, i.e. the VAR command
runs fine over the same data. So if I conduct the following:  

var (D.(p v ep))

How do I obtain the in sample estimate of D.p?

Nick Cox

I'd look more closely at the data to see what gaps exist before -tsfill-
and whether it actually makes any difference. 

Weeks are awkward. Stata's weeks are defined so that week 1 of any year
begins on 1 January and there are always 52 weeks in any year, the last
being 8 or 9 days long. It may be those assumptions doesn't map
perfectly on to your data somehow. They don't often correspond to the
way that stock markets are reported, I guess. 

Either way, -dfactor- is bailing out very early, and the most natural
thing to do is to look at the data. I doubt that -dfactor- is being
dumb, or that its recent introduction to Stata is of consequence here. 

Degas Wright

I am using the dfactor command and have run into the gap in time series
error. My data is price (p), volume (v) and earnings yield (ep) and I am
trying to develop a dynamic factor model using the dfactor command. My
code is:

tsset
        time variable:  date, 2008w25 to 2010w40
                delta:  1 week

. dfactor(D.(p v ep)=,noconstant)(f=,ar(1/2))
gaps in the time series are not allowed
r(459);

. tsfill,full

tsset
        time variable:  date, 2008w25 to 2010w40
                delta:  1 week

. dfactor(D.(p v ep)=,noconstant)(f=,ar(1/2))
gaps in the time series are not allowed
r(459);

It appears that the dfactor command is not recognizing the tsfill, full
step.  The dfactor is a relatively new command and I did not see
anything regarding the time gap issue and dfactor on the FAQ.


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