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Dealing with Unwanted Observations

Posted: Tue Feb 14, 2017 9:42 am
by alexecon
I have a time-series variable ("VOLUME") that contains zeros. I would like to drop/delete/ignore observations that correspond to these zeros in all variables in the dataset. The following

Code: Select all

SMPL(SERIES=VOLUME) 2016:01:01//1 2017:02:10//23
does not subsequently allow me to, e.g., estimate a GARCH model and

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GARCH(P=1,Q=1)


gives instead
GARCH Cannot Be Used with Gaps/Missing Values


Would it be better to get rid of the unwanted observations from the data at the source or can RATS do that? Thank you.

Re: Dealing with Unwanted Observations

Posted: Tue Feb 14, 2017 10:32 am
by TomDoan
Read the part of the next page beginning with "Another option"

https://estima.com/docs/RATS%209%20Intr ... f#page=116

Your SMPL option would be based upon the volume being zero, rather than the %VALID (which tests for missing values), but the idea is the same.