Message-ID: <48A17D0A.5040603@braverock.com>
Date: 2008-08-12T12:07:38Z
From: Brian G. Peterson
Subject: cointegrated series with Data Missing
In-Reply-To: <319030.86778.qm@web65716.mail.ac4.yahoo.com>
Marcus Vin?cius Soares wrote:
> 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 theories do not apply, since they are time series, and are also cointegrated.
> Can someone help me?
There have been many discussions on this list regarding missing data in
financial timeseries, so I suggest that you search the list archives.
I would also suggest that you look at the methods for dealing with
missing data in the 'xts' package (and by extension, from 'zoo'), and
see if a an locf or interpolated solution would work.
Regards,
- Brian