How does econometrics toolbox handle missing data?
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Hello,
I'm doing time series analysis on different kinds of weather and air-quality data and I started to wonder, how does econometrics toolbox handle missing data or NaNs?
If I give the econometrics toolbox functions data with NaNs on them when fitting for example ARIMAX-model, how are the NaNs handled?
Thank you for any replies! =)
Accepted Answer
Shashank Prasanna
on 21 Feb 2013
0 votes
Note: NaNs indicate missing values. The toolbox removes these values from Y before estimation, reducing the effective sample size.
You will find this in the documentation of GARCH which does arimax:
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