Dear R users,
I have data on 4 types of interest rates. These rates evolve over
time and across regions of countries . So for each type of interest
rates I want to run a regression of rates on some other variables.
So my regression for one type of interest rate will be I_{ij}_t= a
+regressors +error term.
where I_{ij}_t is the absolute difference in rates between two
locations i and j at time t. Note that i and j can be locations in
the same country or locations at different countries.
What I need is construct a vector with all the pairs of locations for
a specific t. Put differently, I want to see how the interest rate
differential evolves over time for each pair of region. But the
monthly time series data I have available are heterogeneous across
countries
Take a look at the following table
Country A country B country C
country D country E country F
'2-11-2002 ' 07-12-2002' '23-11-2002'
'26-10-2002' '27-12-2002'
.
.
.
09-10-2004' '06-11-2004' 02-10-2004' 09-10-2004'
>From the above table, In country A the time starts at "2/11/02 , in
country B the time starts at "07/12/02 and so forth.
Furthermore, in country A the time ends at "9/10/04 , in country B
the time ends at "06/11/02 and so forth.
As a result of this anomaly in the beginning of time, the time duration for
each country differs
So I cannot construct these pairs because for a particular time, t,
the rate exists in one location, but the rate in another location
starts after t or ends before t.
So the main thing I need to define is what I want done when data has
not yet started or is already finished in another country. I do not
know actually what the best solution is. This is my main question.
I found something about extrapolation (if this is to be the solution)
but I learn that extrapolation usually has quite a wide margin of
error!! Apart from that, I have no idea how to implement it in R.
Do you think that it would be better to try and create a more
symmetric sample so as the start and end dates across countries to be
very similar?
It is a data analysis problem. I need some help....
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