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From |
Argyn Kuketayev <akuketayev@mail.primaticsfinancial.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: roll rates |

Date |
Sun, 24 Apr 2011 13:46:51 -0400 |

thanks, -xttrans- seems to be what I was looking for. i read that -fillin- command can help woth gaps. On Sat, Apr 23, 2011 at 8:48 AM, Austin Nichols <austinnichols@gmail.com> wrote: > Nick Cox <njcoxstata@gmail.com>, Argyn Kuketayev > <akuketayev@mail.primaticsfinancial.com>: > > -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 <njcoxstata@gmail.com> wrote: >> . h xttrans >> >> On Sat, Apr 23, 2011 at 12:25 AM, Argyn Kuketayev >> <akuketayev@mail.primaticsfinancial.com> 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/ > -- Argyn Kuketayev * * 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/

**References**:**st: roll rates***From:*Argyn Kuketayev <akuketayev@mail.primaticsfinancial.com>

**Re: st: roll rates***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: roll rates***From:*Austin Nichols <austinnichols@gmail.com>

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