Problem with gaps in data in Stata- problem with commands like dfuller. Please help!

[Anastazja Stachwiuk]

Hello, I have a big problem with my data. When I am writing a command in Stata (for example dfuller) it shows me something like 'not possible to do with gaps' (I do not remeber how this error was named exactly) How to overcome that issue? Thank you in advance!

[Joro Kolev]

Mechanically you can eliminate the "structural" gaps (e.g., you are running regressions on daily returns, you have -tsset- your data as daily, and you have non-trading days such as weekends and holidays) in your time series data by:

sort date

gen t = _n

tsset t

[Dimitriy V. Masterov]

Cross-posted on CV. Please note the policy on this here.