MVCORR: Stata module to generate moving-window correlation or autocorrelation in time series or panel
Nicholas J. Cox
Christopher F Baum
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
In order to set up a list of libraries that you have access to,
you must first login
or sign up.
Then set up a personal list of libraries from your profile page by
clicking on your user name at the top right of any screen.