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st: Fwd: high frequency data with panel structure


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Fwd: high frequency data with panel structure
Date   Tue, 16 May 2006 07:48:57 -0400

For some reason this message does not appear on the digest.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


Begin forwarded message:

From: Kit Baum <baum@bc.edu>
Date: May 15, 2006 12:09:59 PM EDT
To: statalist@hsphsun2.harvard.edu
Subject: re: high frequency data with panel structure

Sebastien said

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.


This sort of data (e.g. trades, which may occur none, one or many times per day in a given session) is not panel data. It is repeated measures data. Think of an intensive care ward where some patients' vital signs are monitored more frequently than others. We may have 50 BP measurements for patient A and 10 BP measurements for patient B over the same calendar day. You do want to note that many of the measurements come from the same unit (bank, patient etc.) but you can do that with Stata's xt* commands using "iis". A command like xtreg will allow you to specify i(banknr), and run a fixed-effect model in which you demean each bank's transactions without the necessity of evenly spaced time units from which the measurements are generated. Of course, you could also add temporal variables to the analysis--dummies for each trading day in your sample, or for the day of week (Monday dummy, etc.)


Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


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