English, Article edition: MVCORR: Stata module to generate moving-window correlation or autocorrelation in time series or panel Nicholas J. Cox; Christopher F Baum

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Bookmark: http://trove.nla.gov.au/version/102599
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  • code
Language
  • English

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Title
  • MVCORR: Stata module to generate moving-window correlation or autocorrelation in time series or panel
Author
  • Nicholas J. Cox
  • Christopher F Baum
Physical Description
  • code
Notes
  • 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.
  • correlation, autocorrelation, moving window, time series
  • RePEc:boc:bocode:s438801
Language
  • English
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