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st: RE: correlations panel data


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: correlations panel data
Date   Tue, 15 Jun 2004 22:36:33 +0100

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? 

Nick 
n.j.cox@durham.ac.uk 

paula garcia
> 
> 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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