[Gretl-users] ODS importer

[John C Frain]

Thanks for so quick a solution.  I have tried and can confirm that the
ods importer now respects the dates in the ods file.  I think that
what you are doing is probably what most people will want.  In
Rmetrics it is possible to strip the NAs from a daily series (all 5
days per week) and retain what you are proposing. It is also possible
to add back in the na's to the reduced series to recover the original
5-day per week series with missing values.  I have used this facility
to then interpolate for the missing values.

I have also had a look at adding data cells containing =NA() (or #N/A)
opposite the holiday dates in the ods file.  These are imported into
gretl as 0.  If I replace the =NA() by any string such as NA then that
is also imported as 0.  If I just enter the date in the first column
and leave the data entries blank they appear as blank in gretl's  |
data | display values | and I presume are then treated as missing by
gretl.

Should the =NA() in ods file be also treated as missing?  As one who
uses R it might also be useful to recognise NA as a missing value.



Best regards

John
On 08/11/2007, Allin Cottrell <cottrell at wfu.edu> wrote:
> 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.
>
>
>
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-- 
John C Frain
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj at tcd.ie
mailto:frainj at gmail.com