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PWCORRF: Stata module to compute pairwise correlations efficiently, with builtin reshape functionality

Author

Listed:
  • Jesse Wursten

    (KU Leuven)

Programming Language

Stata

Abstract

pwcorrf uses mata code to calculate pairwise correlations significantly faster than the original pwcorr command (10x faster is not uncommon). It has two additional features. First, it will return the matrix of joint observation counts for all pairs. Second, the “reshape” option allows you to calculate correlations across panel units, without having to use the slow Stata reshape command.

Suggested Citation

  • Jesse Wursten, 2016. "PWCORRF: Stata module to compute pairwise correlations efficiently, with builtin reshape functionality," Statistical Software Components S458206, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458206
    Note: This module should be installed from within Stata by typing "ssc install pwcorrf". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/p/pwcorrf.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/p/pwcorrf.sthlp
    File Function: help file
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