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


From   Rachel <academicgirl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Using Stata to model Sovereign Credit Spreads (cross sectional time series?)
Date   Tue, 23 Sep 2008 05:30:14 -0400

Thank you very much, Clive.  Can the Arima model be used on
cross-sectional time series data?

On Tue, Sep 23, 2008 at 1:05 AM, Clive Nicholas
<clivelists@googlemail.com> wrote:
> Kam Kup wrote:
>
>> 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)?
>
> From what you write here, I would say that -arima- (with lags) would
> be your best bet. Others in this field may advise differently.
>
> --
> Clive Nicholas
>
> [Please DO NOT mail me personally here, but at
> <clivenicholas@hotmail.com>. Please respond to contributions I make in
> a list thread here. Thanks!]
>
> "My colleagues in the social sciences talk a great deal about
> methodology. I prefer to call it style." -- Freeman J. Dyson.
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