st: Fwd: high frequency data with panel structure

[Kit Baum <baum@bc.edu>]

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Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


Begin forwarded message:

> From: Kit Baum <baum@bc.edu>
> Date: May 15, 2006 12:09:59 PM EDT
> To: statalist@hsphsun2.harvard.edu
> Subject: re: high frequency data with panel structure
>
> Sebastien said
>
> Thanks for your reply. Actually the individuals are banks, hence to  
> incorporate
> cash taker effects I wanted to run a panel regression to take in  
> this specific
> effect. The data are interbank transactions - some are on a secured  
> basis
> some are not. To look at the interest rate effect of different  
> collaterals
> provided & maturity chosen I thought a panel data analysis to be  
> the best.
>
> I already thought of changing the strucutre of the data into hours,  
> for instance.
> Unfortunately I wasn't able to break it down to a lower level than  
> one day
> in Stata.
>
>
> This sort of data (e.g. trades, which may occur none, one or many  
> times per day in a given session) is not panel data. It is repeated  
> measures data. Think of an intensive care ward where some patients'  
> vital signs are monitored more frequently than others. We may have  
> 50 BP measurements for patient A and 10 BP measurements for patient  
> B over the same calendar day. You do want to note that many of the  
> measurements come from the same unit (bank, patient etc.) but you  
> can do that with Stata's xt* commands using "iis". A command like  
> xtreg will allow you to specify i(banknr), and run a fixed-effect  
> model in which you demean each bank's transactions without the  
> necessity of evenly spaced time units from which the measurements  
> are generated. Of course, you could also add temporal variables to  
> the analysis--dummies for each trading day in your sample, or for  
> the day of week (Monday dummy, etc.)
>
>
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
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