Hi Nick
Thanks for your reply. Actually the individuals are banks, hence to incorporate
cash taker effects I wanted to run a panel regression to take in this specific
effect. The data are interbank transactions - some are on a secured basis
some are not. To look at the interest rate effect of different collaterals
provided & maturity chosen I thought a panel data analysis to be the best.
I already thought of changing the strucutre of the data into hours, for instance.
Unfortunately I wasn't able to break it down to a lower level than one day
in Stata.
>-- Original-Nachricht --
>Subject: st: RE: High Frequency Data with panel structure
>Date: Mon, 15 May 2006 15:03:35 +0100
>From: "Nick Cox" <[email protected]>
>To: <[email protected]>
>Reply-To: [email protected]
>
>
>Sounds very simple to me: your data
>do not appear to be panel data in Stata's sense.
>
>Panel data to Stata are perhaps best thought
>of as based on a set of individuals
>observed at a set of times. For each individual
>at each time, there is at most one observation.
>The individuals can be people, companies, organisms,
>meteorological stations, etc. but they must
>maintain an identity throughout the dataset.
>
>What are your individuals?
>
>Nick
>[email protected]
>
>[email protected]
>
>> I am currently analyzing a panel data set with high/multi
>> fequency data,
>> namely interbank transactions. As interbank transactions have
>> been conducted
>> more than once a day per bank - at some day a bank conducted
>> 100 transactions
>> - if I tsset the data I get the error message that I have
>> "repeated time
>> values within panel". Does anybody know how to handel this?
>
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