Re: st: Re: Currency_Time-series

["Rodrigo A. Alfaro" <raalfaroa@gmail.com>]

You need to download the package, I checked that works on
version 7 (and up). Type in the Command Prompt:

net install tsmktim.pkg

About EViews routines, they are not "sophisticated" in the other way
either. Constant option can be done by -replace-. Linear option is
available in -ipolate- and other methods of splines (Quadratic or
Cubic) are available from users codes (type spline).

As I said before, it makes more sense to work with monthly data.
Maybe you could interpolated your quarterly GDP, and take the
last day of your daily dataset.

R.





----- Original Message ----- 
From: "b.qureishi" <b.qureishi@ucl.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, April 03, 2007 4:34 PM
Subject: 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 <jacobs.184@sociology.osu.edu>:
>
>
> > 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 <jacobs.184@sociology.osu.edu>:
> > >
> > >
> > > > 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" <raalfaroa@gmail.com>:
> > > > >
> > > > >
> > > > > > 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" 
> > > > > > <b.qureishi@ucl.ac.uk>
> > > > > > To: <statalist@hsphsun2.harvard.edu>
> > > > > > Cc: <bill138@gmail.com>
> > > > > > 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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