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Re: st: Re: Currency_Time-series
I never said otherwise.
I guess il have to make use of excel...or may do what Mr Alfaro
suggested (Using
the last price of the month)...unless there are anyother ideas...I
tired Wiggans
stata command: tsmktim- this would have been most ideal, however, it seems the
stata v8.2 that im using does not support it.
Quoting David Jacobs <[email protected]>:
I didn't say the EViews routines that convert higher frequency data
to lower frequency data are sophisticated. They aren't, but the
routines that work in the opposite direction are.
I guess I was implicitly thinking that the best compromise might be
to use the sophisticated routines to convert quarterly data to
monthly data and then convert the daily data to monthly as well.
But if you can't afford the $450 or so necessary to purchase EViews
and you can't borrow it temporarily, all of this, of course, is moot.
DJ
At 03:20 PM 4/3/2007, you wrote:
Thanks, just went through UCL's software database. Unfortunatley, we dont
support Eviews. Eviews also do not have a demo version that I can
download...
Regards,
Bilal
Quoting David Jacobs <[email protected]>:
The econometrics package named EViews offers sophisticated routines
that convert lower frequency data to data at higher frequencies.
Although it contains many sophisticated procedures, this package is
not difficult to learn.
Dave Jacobs
At 02:31 PM 4/3/2007, you wrote:
Thanks, I guess if no one is able to provide direction on my
initial query, worst case scenario will be converting daily
frequencies into monthly data. I
may well apply what you have suggested, do you recall the source
of where you
noted such information?
Regards,
B
quoting "Rodrigo A. Alfaro" <[email protected]>:
Bilal
I read some articles in applied finance that uses monthly data
combinated with daily frequency. In the bond markets, they used
the last day of the month data from the daily dataset. I think
that you can do the same... but I will be suspicious for the case
of quarterly.
R.
----- Original Message ----- From: "b.qureishi" <[email protected]>
To: <[email protected]>
Cc: <[email protected]>
Sent: Tuesday, April 03, 2007 12:51 PM
Subject: st: Currency_Time-series
Dear All,
My name is Bilal Qureishi. I am currently studying for a Masters
In Comparative
Economics, at University College, London.
I will be conducting an empirical study to asses the affects of
"The release of
US Macro data on daily currency prices"- and whether or not such
fundamental
releases start certain trends.
I have about 30 years of data for cable, eur/usd and usd/jpy.-dependant
variables.
My independent variables consist of GDP, PPI, CPI, INTEREST RATES and
UNEMPLOYMENT DATA.
The frequency of my independent variables in monthly, excluding
GDP which is
quarterly, over 30 years.
The frequency of my dependant variables is daily over 30 years.
In light of the above, my data is no-doubt time-series. My
question is, how to I
get my independent variables to reconcile with my dependant
variables? I.e how
can I get for example quarterly gdp figures to translate to a
daily fx figure?-
my lecturer who is not a currency whiz suggests that I should
convert my daily
rates into quarterly rates. I could do this, but believe that it
will not
directly contribute to what I want to do.
Your thoughts, suggestions and direction would be most appreciated.
Regards,
Bilal Al-Qureishi
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