How to do ARMA regression with non available values

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Qian cao
Qian cao 2015-12-29
评论： Brendan Hamm 2015-12-29
HI,the two matrix are time series data. One is return and the other is named MAprice. how to conduct arma model( inc. error and intercept term)with return(t) as y and MAprice(t-1) as explanary variable. The output of the coefficients of x should be in a matrix B which has the corresponding row and column as the return matrix. NOTE, there are some NaN values in MAprice so some values in the return matrix will be kicked out due to the 1 to 1 relationship between y and x. The regression at each t is cross sectional depending on the number of non NaN values in MAprice.
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Brendan Hamm
Brendan Hamm 2015-12-29
Not really enough info to help with this problem, but take a look at the arima class in the econometrics toolbox.

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