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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? * * 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:*Austin Nichols <austinnichols@gmail.com>

**References**:**st: roll rates***From:*Argyn Kuketayev <akuketayev@mail.primaticsfinancial.com>

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