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From |
Argyn Kuketayev <akuketayev@mail.primaticsfinancial.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: roll rates |

Date |
Fri, 22 Apr 2011 19:25:47 -0400 |

Hello i wonder if Stata has a package for pool roll rate analysis. the roll rates are probabilities of transitions between asset's states, such as credit grades. let's say, we have N assets, each can be in one of the states S. some of these states are end-states, i.e. once an asset gets into this state, it exits the pool. so we can observe monthly asset states, and transitions between them. the assumptions is that all assets have the same state transition probabilities, and that these probabilities remain constant over time (stationary). i need to estimate the probabilities of transitions between states. one can think of a matrix with rows corresponding to an asset state this month, and the columns are states in next month. so sum of columns in each row is 100%. each cell is a probability of transition from row state to column state. what would be the most straightforward way to estimate the transition probability matrix (roll rates) in Stata? cheers -- Argyn Kuketayev * * 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/

**Follow-Ups**:**Re: st: roll rates***From:*Nick Cox <njcoxstata@gmail.com>

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