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From |
Austin Nichols <[email protected]> |

To |
[email protected] |

Subject |
Re: st: roll rates |

Date |
Sat, 23 Apr 2011 08:48:05 -0400 |

Nick Cox <[email protected]>, Argyn Kuketayev <[email protected]>: -xttrans- does not seem to respect gaps in time within panel, where someone estimating transition probabilities would want to, but -tab- works fine if you define the appropriate lag variable, and -svy:tab- works better, if you have weighted and/or clustered data, or you want to test something. clear webuse nlswork g lmsp=l.msp la var lmsp "last month's state" note lmsp: not last month, but actually year(s) bys idcode (year): g flmsp=msp[_n-1] la var flmsp "last observation's state" xttrans msp ta flmsp msp, nofr row * note equivalence above--not period-to-period transitions: ta lmsp msp, nofr row svyset, srs svy:ta lmsp msp, row * usually transition matrix has cols sum to 1: svy:ta msp lmsp, col test _b[p12]=_b[p21] test _b[p11]=_b[p22] * the above tests equality of cell proportions... * to test equality of transition rates use se or ci options: svy:ta msp lmsp, col se test _b[p12]=_b[p21] test _b[p11]=_b[p22] On Fri, Apr 22, 2011 at 7:58 PM, Nick Cox <[email protected]> wrote: > . h xttrans > > On Sat, Apr 23, 2011 at 12:25 AM, Argyn Kuketayev > <[email protected]> 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:*Argyn Kuketayev <[email protected]>

**Re: st: roll rates***From:*Clive Nicholas <[email protected]>

**References**:**st: roll rates***From:*Argyn Kuketayev <[email protected]>

**Re: st: roll rates***From:*Nick Cox <[email protected]>

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