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cointegrated series with Data Missing
2 messages · Marcus Vinícius Soares, Brian G. Peterson
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