Friday, 18 October 2013

CFTC, Please Fill In Missing COT Data!

The U.S. government shutdown may be over, but the Commitments of Traders data still hasn't been updated for the current week or previous weeks since the shutdown started.

I'll be checking the U.S. Commodity Futures Trading Commission website this weekend to see if any new data is posted.

The site currently gives "10/18/13" as the current report date. But the actual data is still the same as what's been there during the shutdown, which is the Sept. 24, 2013, COT report. The historic dataset on the site hasn't been updated either with any new data.

Missing Data Causes Statistical Issues

I'm hoping someone at the CFTC has the sense to fill in the missing weeks, instead of simply restarting with the data from here on.

Missing several weeks of numbers in a dataset like this causes huge problems for any proper statistical analysis.

Do you exclude the missing weeks of data and price changes? Do you fill them in with your own made-up "transitional" data? There's no good solution I can think of.

Thanks a lot, Tea Party!

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