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st: RE: regression where independant var with gaps
From
"Millimet, Daniel" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: regression where independant var with gaps
Date
Fri, 15 Jun 2012 16:09:59 +0000
Not unless the DGP underlying the model also has the gaps. If you fit an AR(1) model to the series where the true DGP has a period as a day, then missing gaps changes the parameter on the lag when the lag represents more than 1 period back. See some recent blog posts and references by David Giles.
http://davegiles.blogspot.com/2012/04/unit-root-tests-with-missing.html
****************************************************
Daniel L. Millimet, Professor
Department of Economics
Box 0496
SMU
Dallas, TX 75275-0496
phone: 214.768.3269
fax: 214.768.1821
web: http://faculty.smu.edu/millimet
****************************************************
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of tashi lama
Sent: Friday, June 15, 2012 10:55 AM
To: [email protected]
Subject: st: regression where independant var with gaps
Hello all,
I have a univariate time series with gaps like following
date hits
01/01/2011 40
01/02/2011 20
01/03/2011 9
01/06/2011 6
01/10/2011 2
........
Can I run a regression since the my independant vars have gaps?
Thanx always,
Tashi
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