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st: RE: correlations panel data
As you have panel i.e. time series data,
getting a handle on the significance
of correlations between variables would
seem to require either an implausible
assumption of independence or some
sort of specification of
dependence structure. Which are you
thinking of, or I am missing your point?
> 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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