Re: st: Re: Currency_Time-series

["b.qureishi" <b.qureishi@ucl.ac.uk>]

Just tried: net install tsmktim.pkg
However I am being told:
A- www.stata.con/tsmktim.pkg not found
B- Could not load tsmktim.pkg from www.stata.com

Regards,
B

Quoting "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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