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st: roll rates

From   Argyn Kuketayev <>
Subject   st: roll rates
Date   Fri, 22 Apr 2011 19:25:47 -0400


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?

Argyn Kuketayev
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