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


  • Nicholas J. Cox

    () (Durham University)

  • Christopher F Baum

    () (Boston College)


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.

Suggested Citation

  • Nicholas J. Cox & Christopher F Baum, 2004. "MVCORR: Stata module to generate moving-window correlation or autocorrelation in time series or panel," Statistical Software Components S438801, Boston College Department of Economics, revised 18 Oct 2005.
  • Handle: RePEc:boc:bocode:s438801 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.

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