[Gretl-users] skipping observations in arch regressions

[Riccardo (Jack) Lucchetti]

On Tue, 29 May 2007, Chris wrote:

> Hi,
>
> I know it's improper to skip observations (and likely mucks about the
> result) but I'm dealing with hourly data so the effect isn't that great. I'm
> missing about 21 observations in a data set of nearly 3000 and none of them
> are together. Is there any way to get the arch command to just skip the
> observations and continue on with the regression?
>

Proviso: statistically speaking, this is something that shouldn't be done 
(but people do it anyway).

You can save a version of your dataset purged of missing values by

smpl --no-missing
setobs 1 1 --special
store mydata

and you should be ok.



Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti at univpm.it
http://www.econ.univpm.it/lucchetti