How does econometrics toolbox handle missing data?

Hello,

I'm doing time series analysis on different kinds of weather and air-quality data and I started to wonder, how does econometrics toolbox handle missing data or NaNs?

If I give the econometrics toolbox functions data with NaNs on them when fitting for example ARIMAX-model, how are the NaNs handled?

Thank you for any replies! =)

Answer 1

[Shashank Prasanna]

Note: NaNs indicate missing values. The toolbox removes these values from Y before estimation, reducing the effective sample size.

You will find this in the documentation of GARCH which does arimax:

http://www.mathworks.com/help/econ/garch.estimate.html

[Edvard]

Thank you! =)