I'd like to fit an ARMA(1,1) model to some data (Federal Reserve Bank interest rates) that looks like:
... 30JUN2006, 5.05 03JUL2006, 5.25 04JUL2006, N <---- here! 05JUL2006, 5.25 ... One problem is that holidays have that "N" for their data. As a test, I tried fitting ARMA(1,1) with and without the holidays deleted. In other words, I fit the above data as well as this data: ... 30JUN2006, 5.05 03JUL2006, 5.25 05JUL2006, 5.25 ... and the ARMA coefficients came out different. My question is: Should I delete all the holidays from my data file? What exactly does R do with the "N" values in the fit for the ARMA coefficients? As a related question, the weekends don't have entries (since the FRB is closed on all weekends). Does the fact that my data is not regularly spaced pose a problem for ARMA fitting? Many thanks! -- View this message in context: http://www.nabble.com/Newbie-help%3A-Data-in-an-arma-fit-tf4668584.html#a13336403 Sent from the R help mailing list archive at Nabble.com. [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
