- With 60 data observations, how do I construct a time series analysis properly?
- How to do Certain Calculations such as covariances on data with Gaps and Inconsistencies?
Background of Question
- I'm currently setting out on doing an assignment for a portfolio theory class
- 15 stocks with their price-adjusted monthly returns from 1986-2016 (roughly 400 monthly observations) listed on the ISEQ (Irish Stock Exchange)
What I think are Data Issues
Allocated stocks do not have like-for-like observations - stocks listed at different times have different numbers of observations for each stock. ( Non-uniform time series)
Only have 60 observations where all stocks have data from the same time period/across the panel.(Do you mean columns? do you mean same dates?)
( Insert screenshot of data points)
One stock in particular only has 60 observations and is extremely 'blocky' in its returns characteristics.
( ( Insert screenshot of data point)
Data may cause me problems when I:
- should I use the full array (~400 of observations) of my oldest stock (for variance calculations) against the 60 observations of this problematic stock when calculating the variance co-variance matrix?
Compare like with like and cut my observations across my portfolio to 60 observations
- Am I sacrificing descriptive power in my outputs if I do this?
My humblest thanks and best wishes, CM.