I have a panel of bond spreads. Spreads are from a specific issuer (firm) and maturity (eg 2, 4, etc years). The problem is that Stata's tsset (or xtreg) command takes two variables to set the data structure. In my case no two variables uniquely identifies each observation.
If I do: tsset issuer_id Date
I get the error: repeated time values within panel
My data looks like the following:
Issuer Date Spread Maturity IndependtVar1 IndependentVar2 ... Issuer1 apr12 2.2 2 ... Issuer1 apr12 3.3 4 ... Issuer2 apr12 2.5 2 Issuer2 apr12 2.8 4 ...
Is there any way around this? (except for converting to a wide-format data, eg a separate spread variable for each maturity)