[Gretl-users] ODS importer

[Allin Cottrell]

On Thu, 8 Nov 2007, John C Frain wrote:

> I imported some daily daily data into gretl using the ods importer.
> Dates were in column one and variable names in row 1.  It recognised
> my data as a daily time series with 5 days per week and had the
> correct start date. Excellent!!  

So far, so good.

> However I found a small problem (or at least it did not do 
> exactly what i wanted). The first few rows of the ods file were
> 
> Date	                Alpha	Beta	Gamma	Delta
> 1991-12-30	1.6490	-0.0307	0.5301	-0.0587
> 1991-12-31	1.6497	-0.0303	0.5303	-0.0588
> 1992-01-02	1.6510	-0.0273	0.5304	-0.0583
> 1992-01-03	1.6517	-0.0260	0.5305	-0.0581
> 1992-01-06	1.6517	-0.0258	0.5305	-0.0582
> 1992-01-07	1.6515	-0.0245	0.5301	-0.0576
> 
> The first of these is a Monday.  Note that Wednesday 1992-01-01 
> was missing from my data set as this is a bank holiday.  Gretl 
> however inserted a 1 January date and allocated the data from 2 
> January to 1 January.  I assume that gretl decides correctly 
> that the series is daily, 5 days per week, and starts on 
> 1991-12-30.  It then sets up a list of dates with 5 days per 
> week and allocates the data to those dates without reference to 
> the dates on the ods file.

Yes, that's what happened, though in fact it was not what was 
intended.  Fixed in CVS and snapshot.

> Would it be possible for a future version of the ods importer to 
> check that the dates correspond. If they did not perhaps it 
> could write NAs in the gretl file against the missing date and 
> then check the next date.

The importer should now respect the date labels, provided they're 
consistent.  It would be possible to insert NAs, but I think in 
most cases that's not what one wants.  With NAs, you can't do 
anything autoregressive.  And with daily market data where the NAs 
(if inserted) represent non-trading days it's probably legitimate
to treat the data as if there's nothing missing.

Suppose the markets didn't trade on a certain Thursday.  Do we say 
that Friday's y(-1) is NA, or that it is Wednesday's observation 
on y?  I suspect most of the time you'd want the latter (and would 
be annoyed if gretl stuck in NAs that weren't there in the 
original file).

Allin.