MVCORR: Stata module to generate moving-window correlation or autocorrelation in time series or panel
Abstractmvcorr 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.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S438801.
Programming language: Stata
Requires: Stata version 8.2
Date of creation: 21 Apr 2004
Date of revision: 18 Oct 2005
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.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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