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st: Graph for longitudinal data - calculation based on mortality approach


From   "Timo Beck" <timoworldwide@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Graph for longitudinal data - calculation based on mortality approach
Date   Tue, 22 Feb 2011 12:14:57 +0100

Dear All,

I have a question regarding graphs for longitudinal data. I am working with a data set on payments on outstanding loans in long format containing one observation for each person and payment of that person, i.e.

Person     Cum. Payment    Loan     Period
1                 10         50        3
1                 20         50        7
1                 30         50        8
2                100        500        2  
2                200        500       17

I am trying to create a graph with the cumulative average fraction of the loan paid back over time (cumulative average over all persons).

The mortality approach I want to use was introduced for bond defaults in Altman, E., 1989. Measuring Corporate Bond Mortality and Performance. Journal of Finance, 44, 909-922, p. 912.) and the calculation works as follows:

Marginal fraction paid at time t (MFT)= Sum(all payments)/sum(all loans outstanding) at time t

Fraction unpaid at t (FUT) = 1 - MFT

Cumulative Fraction paid = 1 - product(previous FUT)


I am relatively new to Stata and not sure how to approach this problem. I tried several related ideas that I found in previous threats, e.g. transforming the data set in a person period form and go from there by using -xtgraph-. However, nothing worked so far. I use Stata 10 (Stata/SE 10.1 for Windows, Born 01 Oct 2009).

I would be grateful for any hint on how to approach this. Thanks a lot in advance!



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