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st: Re: "Structural" break tests for non-time series data??
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You might want to look into -suest- and
http://www.stata.com/support/faqs/stat/chow.html
HTH
Martin
_______________________
----- Original Message -----
From: "kokootchke" <[email protected]>
To: "statalist" <[email protected]>
Sent: Wednesday, June 24, 2009 11:11 PM
Subject: st: "Structural" break tests for non-time series data??
Hello!!
I am running a regression of bond yield spreads* (non-finance people, see
* below) on a bunch of variables. Let's group these variables in two sets,
set A and set B. Other research has considered that these bond spreads
depend on set A. My hypothesis is that the importance of set A in the
determination of the spread should be lower once we take into account set
B (omitted variables). Not only that, but that the variables in set B have
become more and more important over time relative to those in set A.
If I run the regression:
spread = f(A,B,year dummies)
I observe that years 1998-99 are very important and I think that has to do
with the Russian crisis which affected bond markets big time.
Now, when I run the same regression (without the year dummies) using two
subsamples, one pre-1998 and one post-1998, I do confirm my hypothesis
above, namely, that the magnitudes of the effects of A on spreads are
lower in the post-1998 regression, while those of B become way higher.
I would like to know if there is a structural-break-type test that I can
use to confirm that 1998 does indeed mark such a break in my dataset.
ONE IMPORTANT THING, THOUGH: my bond spreads data are NOT a time series --
that is, I don't observe a spread for bond i every day or every month or
every year. I only observe it ONCE at the time the bond was launched, and
then that's it (primary market spread).
So, basically, each row in my dataset corresponds to a given bond, and I
have information on the spread (at launch, or at the time of issue), what
company or what sovereign government issued it, what country they belong
to, the total amount raised in the bond sale, the term or maturity of the
bond... and then all of these other variables in sets A and B.
I hope that was clear enough!
Thank you very much in advance!
Best,
Adrian
* For the non-finance person, the yield spread of a (risky) bond is just
the difference between its yield or return and the yield or return of
another (safe) bond which is used as a benchmark. In general, greater
returns are associated with greater risks.
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