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Re: st: roll rates


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: roll rates
Date   Sat, 23 Apr 2011 00:58:29 +0100

. h xttrans

On Sat, Apr 23, 2011 at 12:25 AM, Argyn Kuketayev
<akuketayev@mail.primaticsfinancial.com> wrote:

> 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?
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