st: From: jose fernandez reina <dacotamade@gmail.com>

[owner-statalist@hsphsun2.harvard.edu]

Dear statalisters,

I am having trouble understanding a model I am using on hourly stock
prices along different days. I am thinking of using a panel data. The
cross section unit would be the hours observed on different days.My
first question is, do you think this is a good way for treating the
data. It is kind of putting two time series as a panel. What I want to
analyze is the effect of some news on daily stock prices. By using the
data as a panel, I would be observing the variance between hours and
between days.

I know it is not a stata specific question but it will come later
after i know how to deal with these data.

Joselito Fernandez

Independent consultant at Consultancy services.
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