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Re: st: Re: Currency_Time-series

From   "b.qureishi" <>
Subject   Re: st: Re: Currency_Time-series
Date   Tue, 03 Apr 2007 22:46:23 +0100

Just tried: net install tsmktim.pkg
However I am being told:
A- www.stata.con/tsmktim.pkg not found
B- Could not load tsmktim.pkg from


Quoting "Rodrigo A. Alfaro" <>:

You need to download the package, I checked that works on
version 7 (and up). Type in the Command Prompt:

net install tsmktim.pkg

About EViews routines, they are not "sophisticated" in the other way
either. Constant option can be done by -replace-. Linear option is
available in -ipolate- and other methods of splines (Quadratic or
Cubic) are available from users codes (type spline).

As I said before, it makes more sense to work with monthly data.
Maybe you could interpolated your quarterly GDP, and take the
last day of your daily dataset.


----- Original Message ----- From: "b.qureishi" <>
To: <>
Sent: Tuesday, April 03, 2007 4:34 PM
Subject: Re: st: Re: Currency_Time-series

I never said otherwise.

I guess il have to make use of excel...or may do what Mr Alfaro suggested (Using
the last price of the month)...unless there are anyother ideas...I tired Wiggans
stata command: tsmktim- this would have been most ideal, however, it seems the
stata v8.2 that im using does not support it.

Quoting David Jacobs <>:

I didn't say the EViews routines that convert higher frequency data to lower frequency data are sophisticated. They aren't, but the routines that work in the opposite direction are.

I guess I was implicitly thinking that the best compromise might be to use the sophisticated routines to convert quarterly data to monthly data and then convert the daily data to monthly as well.

But if you can't afford the $450 or so necessary to purchase EViews and you can't borrow it temporarily, all of this, of course, is moot.


At 03:20 PM 4/3/2007, you wrote:

Thanks, just went through UCL's software database. Unfortunatley, we dont
support Eviews. Eviews also do not have a demo version that I can download...



Quoting David Jacobs <>:

The econometrics package named EViews offers sophisticated routines that convert lower frequency data to data at higher frequencies.
Although it contains many sophisticated procedures, this package is not difficult to learn.

Dave Jacobs

At 02:31 PM 4/3/2007, you wrote:

Thanks, I guess if no one is able to provide direction on my initial query, worst case scenario will be converting daily frequencies into monthly data. I
may well apply what you have suggested, do you recall the source of where you
noted such information?

quoting "Rodrigo A. Alfaro" <>:


I read some articles in applied finance that uses monthly data combinated with daily frequency. In the bond markets, they used the last day of the month data from the daily dataset. I think that you can do the same... but I will be suspicious for the case of quarterly.


----- Original Message ----- From: "b.qureishi" <>
To: <>
Cc: <>
Sent: Tuesday, April 03, 2007 12:51 PM
Subject: st: Currency_Time-series

Dear All,

My name is Bilal Qureishi. I am currently studying for a Masters In Comparative
Economics, at University College, London.

I will be conducting an empirical study to asses the affects of "The release of
US Macro data on daily currency prices"- and whether or not such fundamental
releases start certain trends.
I have about 30 years of data for cable, eur/usd and usd/jpy.-dependant
My independent variables consist of GDP, PPI, CPI, INTEREST RATES and
The frequency of my independent variables in monthly, excluding GDP which is
quarterly, over 30 years.
The frequency of my dependant variables is daily over 30 years.

In light of the above, my data is no-doubt time-series. My question is, how to I
get my independent variables to reconcile with my dependant variables? I.e how
can I get for example quarterly gdp figures to translate to a daily fx figure?-
my lecturer who is not a currency whiz suggests that I should convert my daily
rates into quarterly rates. I could do this, but believe that it will not
directly contribute to what I want to do.

Your thoughts, suggestions and direction would be most appreciated.


Bilal Al-Qureishi
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