Jeph said:
> You don't say what kind of analysis you have in mind, so it's very
> hard to know how to handle it. However, if you are thinking of models,
> I would treat this as nested panels, which -xtmixed- and -xtmelogit-,
> among others, can handle.
I'm sorry about that, I wanted to be as brief as possible in my explanation of the problem and didn't think it necessary.
I am interested in looking at the effect of domestic macroeconomic conditions in a given country (e.g., GDP growth, inflation, the level of reserves...) as well as credit and liquidity conditions abroad (e.g., the US interest rate, volatility and liquidity indices...) on the yield spread of bonds issued by that country. The yield spread is a measured as the return of the bond minus the return of a "safe" or riskless benchmark, such as a US T-bill or bond.
SO in my data, I have countries like Mexico, Brazil, Korea... that decide whether they want to issue bonds (or not) in a given period (self-selection)... but when they do participate in financial markets and decide to issue, they may actually issue multiple bonds, each with a different spread (dependent variable) and other individual characteristics (e.g., total amount issued, maturity of the bond, currency of issue, etc.) but facing the same macro conditions both domestically and abroad (i.e., in the same time period, the GDP growth, the inflation rate, the US interest rate, ... are all the same).
Given the nature of my question, do you recommend I look into the nested panels literature? I have never seen these models before and so I have no idea what they do. If you think that would be a good estimation procedure, are there any references you could recommend?
Thank you very much once again!!
Adrian
>
> eg, if you have -country-, -quarter-, a continuous outcome -depvar-,
> and some independent variables
>
> xtmixed depvar || country: || quarter:
>
> would account for multiple obs per quarter, and multiple quarters per
> country. Though maybe I'm missing something.
>
> hth,
> Jeph
>
>
>
> kokootchke wrote:
>> Do you guys know what one can do about multiple observations for one individual in one same period in a panel?
>>
>> A standard panel would be like this (with a bunch of other variables that are unique for that individual country and time period):
>>
>> Argentina 1990:1
>> Argentina 1990:2
>> Argentina 1990:3
>> Argentina 1990:4
>> Argentina 1991:1
>> ...
>> Argentina 2008:3
>> Argentina 2008:4
>> Brazil 1990:1
>> Brazil 1990:2
>> Brazil 1990:3
>> ...
>> Brazil 2008:3
>>
>> Brazil 2008:4
>> Colombia 1990:1
>> Colombia 1990:2
>> Colombia 1990:3
>> ...
>> ...
>>
>> Now, imagine I have the following:
>>
>>
>> Argentina 1990:1
>> Argentina 1990:1
>> Argentina 1990:1
>> Argentina 1990:2
>> Argentina 1990:3
>>
>> Argentina 1990:4
>> Argentina 1990:4
>> Argentina 1990:4
>> Argentina 1990:4
>>
>> Argentina 1991:1
>> Argentina 1991:1
>>
>> ...
>>
>> Argentina 2008:3
>>
>> Argentina 2008:4
>> Argentina 2008:4
>>
>> Brazil 1990:1
>>
>> Brazil 1990:2
>> Brazil 1990:2
>>
>> Brazil 1990:3
>> Brazil 1990:3
>> Brazil 1990:3
>> Brazil 1990:3
>>
>> ...
>>
>> ...
>>
>> You see the difference? Suppose that for each repeated individual (country) and time period, I have different measurings of some variable.
>>
>> More specifically, my problem is one of selection in which countries don't issue debt bonds in some periods, but when they do issue, they may issue MULTIPLE bonds, each with a different price, etc.
>>
>> What can I do about this?
>>
>> Thank you very much in advance!
>>
>> Regards,
>> Adrian
>>
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