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st: Using Stata to model Sovereign Credit Spreads (cross sectional time series?)


From   Kam Kup <kamkupan@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Using Stata to model Sovereign Credit Spreads (cross sectional time series?)
Date   Mon, 22 Sep 2008 10:36:30 -0700 (PDT)

I'd like to sovereign credit spreads (a number between 0 and 100) over three years for about 20 countries.  Some of the explanatory variables are updated daily (such as the market spread), others are updated monthly (such as the country's overall debt level), and some are unchanging (a dummy for membership in OPEC) and a country-specific dummy

I have 3 questions:

1. Should I model each day's credit spread, using the (at the time) latest released debt levels as a dummy variable?

2. Which command should I use in Stata to estimate this?  Would -xtreg, fe- work, even though the dependent variable is censored below (at 0) and above (at 100)?

3. For anyone who has worked with this kind of data, should I make any adjustments (e.g. for heteroskedasticity, autocorrelation, etc)?

Thank you very much,
Kam


      

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