Missing values may occur because of non-reporting or non-availability
of data. SHAZAM has the capability to recognize missing values and
delete these from estimation procedures.
The requirements for working with missing values are:
- A SHAZAM missing value code must be set.
The default value is
-99999. However, another value can
be set with the
SET MISSVALU= command. For example, to set
a missing value code of
-123 the command to enter is:
The missing value code should be chosen so that it does not
match a number that may naturally occur. For example, a missing value code
of 0 is not a good idea since 0 may be an acceptable value for
SET SKIPMISS command must be used. This tells
SHAZAM to turn on automatic deletion of missing values for
For time series methods (for example, the estimation of ARIMA and
ARCH models) the deletion of missing values may not be desirable.
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