I've got a daily data set on Bitcoin's price. Trading continues in the weekends, hence there is price data in the weekends as well.
On the other hand, i've got another daily data set. This set does not have data for the weekends.
I want to make a time series regression with the two sets but what should i do with the weekends? Should I replace the empty weekends with the average? Then, missing values will just be replaced by the average.
Edit:
Im going to regress dataset X on the price of BTC. Thus BTC is the dependent variable.
Dataset X: no weekend data, workweeks=daily data
BTC: daily data on the price, also weekends.
Best Answer
Assuming you produce two models, one for predicting Bitcoin (BTC), one for predicting the other while always using both as inputs: