MVCORR: Stata module to generate moving-window correlation or autocorrelation in time series or panel

Nicholas Cox () and Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

Abstract: mvcorr computes a moving-window correlation for tsvar1, tsvar2 which must be time series variables under the aegis of tsset. If a panel calendar is in effect, the correlation is calculated for each time series within the panel. A moving autocorrelation may be computed by using time series operators. The moving-window correlation is placed in a new variable, specified with the generate() option. Although mvcorr works with unbalanced panels (where the start and/or end points differ across units), it does not allow gaps within the observations of a time series; that is, the value of an observation for a given period may be missing, but the observation itself must be defined. Gaps in time series may be dealt with via the tsfill command.

Language: Stata
Requires: Stata version 8.2
Keywords: correlation; autocorrelation; moving window; time series (search for similar items in EconPapers)
Date: 2004-04-21
Note: This module may be installed from within Stata by typing "ssc install mvcorr". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/m/mvcorr.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvcorr.hlp help file (text/plain)

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