[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
"Martin Weiss" <martin.weiss1@gmx.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Re: "Structural" break tests for non-time series data?? |

Date |
Wed, 24 Jun 2009 23:27:16 +0200 |

<>

HTH Martin _______________________

To: "statalist" <statalist@hsphsun2.harvard.edu> Sent: Wednesday, June 24, 2009 11:11 PM Subject: st: "Structural" break tests for non-time series data??

Hello!!I am running a regression of bond yield spreads* (non-finance people, see* below) on a bunch of variables. Let's group these variables in two sets,set A and set B. Other research has considered that these bond spreadsdepend on set A. My hypothesis is that the importance of set A in thedetermination of the spread should be lower once we take into account setB (omitted variables). Not only that, but that the variables in set B havebecome more and more important over time relative to those in set A.If I run the regression: spread = f(A,B,year dummies)I observe that years 1998-99 are very important and I think that has to dowith the Russian crisis which affected bond markets big time.Now, when I run the same regression (without the year dummies) using twosubsamples, one pre-1998 and one post-1998, I do confirm my hypothesisabove, namely, that the magnitudes of the effects of A on spreads arelower in the post-1998 regression, while those of B become way higher.I would like to know if there is a structural-break-type test that I canuse to confirm that 1998 does indeed mark such a break in my dataset.ONE IMPORTANT THING, THOUGH: my bond spreads data are NOT a time series --that is, I don't observe a spread for bond i every day or every month orevery year. I only observe it ONCE at the time the bond was launched, andthen that's it (primary market spread).So, basically, each row in my dataset corresponds to a given bond, and Ihave information on the spread (at launch, or at the time of issue), whatcompany or what sovereign government issued it, what country they belongto, the total amount raised in the bond sale, the term or maturity of thebond... and then all of these other variables in sets A and B.I hope that was clear enough! Thank you very much in advance! Best, Adrian* For the non-finance person, the yield spread of a (risky) bond is justthe difference between its yield or return and the yield or return ofanother (safe) bond which is used as a benchmark. In general, greaterreturns are associated with greater risks._________________________________________________________________ Hotmail® has ever-growing storage! Don’t worry about storage limits. http://windowslive.com/Tutorial/Hotmail/Storage?ocid=TXT_TAGLM_WL_HM_Tutorial_Storage_062009 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: "Structural" break tests for non-time series data??***From:*kokootchke <kokootchke@hotmail.com>

- Prev by Date:
**st: RE: bootstrapping xtmixed** - Next by Date:
**st: Re: RE: bootstrapping xtmixed** - Previous by thread:
**st: "Structural" break tests for non-time series data??** - Index(es):

© Copyright 1996–2015 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |