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st: Correlation matrix on a subset of panel data


From   John Hund <jhund@tulane.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Correlation matrix on a subset of panel data
Date   Fri, 15 Feb 2008 02:18:22 -0600

I have what is probably a very simple question. I have a panel data set that contains company identifiers and monthly returns (among other things) and I need to generate a correlation matrix of the returns over a specific time period. The data is already tsset with panelid and a datevar. I'm pretty sure that my problem is just that I don't know how to correctly specify the "variables" that get passed to something like corr or pwcorr, since these are each the intersection of the return and a particular firm identifier. I've been thinking of using by or foreach, but in some cases there could be 200-300 firms in each subset. Help?

Thanks,
John

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