I am working with a time series that has missing observations in-between years. Is it possible to estimate VECM with unbalanced time series? Thank you very much. (I am a PhD student)
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Sorry, no idea. Have you tried it? It’s not something I have ever used or know anything about.Comment
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Thank you Nick Cox for your reply. This document here https://www.stata.com/manuals/tsvec.pdf outlines the VECM. However, it does not discuss the case of unbalanced time series - missing observations. I just wanted to know if there exists any work-around to deal with missing observations while estimating VECM. Of course, imputing the missing observations is a common way out. Thank you again.Comment
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Sorry, but it's the same reply from me if you're pushing me for a view. You need reactions from people who do this kind of thing seriously and reading the manual entry won't turn me into one of those.
You may get more reactions when people in different longitudes wake up and look at Statalist. But it's a volunteer site: no one is obliged to answer anything and some good-looking questions go unanswered.Comment
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