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st: re: What to do about multiple observations for one


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: What to do about multiple observations for one
Date   Sun, 19 Jul 2009 17:26:48 -0400

<>	
Nick, Kit, Martin... thanks a lot for your suggestions. The only one that had occurred to me was the one that averages spreads (yes, Kit, I have yield spreads, not prices) and other variables by country whenever there are multiple bonds issued in a given time period... I was not a fan of this approach because I would "lose" observations... but then again, I don't know exactly how much I'm actually losing, if all my macro variables for each of those "repeated" observations in one same time period have the same value (different spread for each bond... but same GDP growth, debt/GDP, inflation, etc.).

What you lose by preserving the multiple observations per time period is the ability to apply the battery of panel data econometrics to your problem. You can certainly make use of additional issue-specific information, collapsed to the country-year (for instance you could look at medians rather than means).
Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html



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