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


From   "Clive Nicholas" <clivelists@googlemail.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 20:46:18 +0100

Rachel wrote:

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

I see no reason why not if your cross-sections are, say,
regularly-spaced months or years _and_ you have lots of them. In my
field, the most common application of ARIMA are for fitting models
explaining party voting-intention shares drawn from monthly opinion
polls (and their lags). In any case, much depends upon how your
response variable is calibrated. You can join the dots from there.

-- 
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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