Rolling window correlation procedure

Vladimir Arčabić

EFZG Department of Macroeconomics Software Series from Faculty of Economics and Business, University of Zagreb

Abstract: RollCorr RATS procedure calculates a rolling window correlation between two series and saves results in a series . It allows leads and lags in correlation, different window size, and it can plot rolling window correlation on a graph. Rolling window correlation can be computed as a backward, centered, or forward correlation. To use the procedure, it has to be saved in a procedure library, usually "C:...\Estima\WinRATS version" or it has to be called from the program using "source rollcorr.src".

Language: RATS
JEL-codes: C87 (search for similar items in EconPapers)
Date: 2017-02-03
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Persistent link: https://EconPapers.repec.org/RePEc:zag:softwr:1701

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