different sample sizes and continuous samples

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Hello all,

I'm not sure this is the correct forum to ask this but, I'm trying to explain a dependent variable that assumes values only during trading days, based on variables that vary in sample size since some occur everyday, some other occur only during weekends. How can I workaround this? I can't regress this with different sample sizes, can I?

also, since some variables do not occur everyday, when I try to make them stationary (and because some days there is a "NA" for those variables), using ARMA models i get "MA estimation requires a continuous sample".

Can somebody help me?
Thanks in advance!