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st: correlations panel data
I need to calculate the correlation matrix among the X variables in my panel dataset and also if these correlations are significant or not. I know there a lot of possibilities in time series or cross-section, but not for panel data (unless mvcorr, but I don't want a moving window). I could do the following:
xtreg x1 x2, re
local bx = _b[x2]
xtreg x2 x1, re
local by = _b[x1]
local r = (`bx'*`by')^0.5
macro list _r
However, I have 20 variables, so proceeding this way could be very long What is more, this doesn't give me information on the significance.
What could I do?
Thanks a lot for your help in advance.
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