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RE: st: RE: High Frequency Data with panel structure

Subject   RE: st: RE: High Frequency Data with panel structure
Date   Mon, 15 May 2006 17:50:38 +0200

Hi Nick

Thanks for your reply. Actually the individuals are banks, hence to incorporate
cash taker effects I wanted to run a panel regression to take in this specific
effect. The data are interbank transactions - some are on a secured basis
some are not. To look at the interest rate effect of different collaterals
provided & maturity chosen I thought a panel data analysis to be the best.

I already thought of changing the strucutre of the data into hours, for instance.
Unfortunately I wasn't able to break it down to a lower level than one day
in Stata. 

>-- Original-Nachricht --
>Subject: st: RE: High Frequency Data with panel structure
>Date: Mon, 15 May 2006 15:03:35 +0100
>From: "Nick Cox" <>
>To: <>
>Sounds very simple to me: your data 
>do not appear to be panel data in Stata's sense. 
>Panel data to Stata are perhaps best thought 
>of as based on a set of individuals 
>observed at a set of times. For each individual
>at each time, there is at most one observation. 
>The individuals can be people, companies, organisms, 
>meteorological stations, etc. but they must 
>maintain an identity throughout the dataset. 
>What are your individuals? 
>> I am currently analyzing a panel data set with high/multi 
>> fequency data,
>> namely interbank transactions. As interbank transactions have 
>> been conducted
>> more than once a day per bank - at some day a bank conducted 
>> 100 transactions
>> - if I tsset the data I get the error message that I have 
>> "repeated time
>> values within panel". Does anybody know how to handel this?
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