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From |
<A.C.Tuncer@lse.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Rolling window correlations for all possible pairs of variables |

Date |
Mon, 13 Aug 2012 12:30:46 +0100 |

Dear Maarten and stata list, Many thanks for the prompt reply! This is very helpful and works well, however I receive an error message when a pair of variables do not have any overlapping observations. Say var1 has observations in period 1900-1960, whereas var2 has observations in 1970-2000. Thus as it is not possible to calculate the corr, the calculations simply stop. Is there any way to force the do-file keep calculating? Thank you very much, Best, Coskun ________________________________ From: owner-statalist@hsphsun2.harvard.edu on behalf of Maarten Buis Sent: Mon 13/08/2012 11:48 To: statalist@hsphsun2.harvard.edu Subject: Re: st: Rolling window correlations for all possible pairs of variables On Mon, Aug 13, 2012 at 12:08 PM, <A.C.Tuncer@lse.ac.uk> wrote: > I have a time series dataset consisting of more than several hundreds of variables, and roughly 1500 time points. > > I want to calculate rolling window correlations for each possible pairs of the variables, and store the results either in a new data set or generate new variables for each possible combination (for instance for var 1 and var2, it is rho1_2, for var1 and var3 it is rho1_3 and so on). Doing this manually is quite inefficient and time consuming. *---------------------------- begin example ------------------------- // get and prepare some example data webuse lutkepohl2, clear tsset qtr // collect the names of all variables except the time variable ds qtr, not local vars `r(varlist)' // count the number of variables local k_vars : word count `vars' // store the first variable name in the local macro 1 // the second variable name in the local macro 2, etc. tokenize `vars' // I don't want to clutter my harddrive whith such example datasets tempfile tofill temp orig save `orig' forvalues i = 1/`k_vars' { forvalues j = `=`i'+1'/`k_vars' { // get some informative info while waiting for the loop to finish di as txt "rolling correlation between " _c di as result "``i''" as txt " and " as result "``j''" quietly { if `i' == 1 & `j' == 2 { // note that the first time round `i' evaluates to 1, // which in turn is evaluated to the first variable name rolling r(rho), window(10) saving(`tofill'): /// corr ``i'' ``j'' use `tofill', clear rename _stat_1 r_``i''_``j'' save `tofill', replace } else { use `orig', clear rolling r(rho), window(10) saving(`temp', replace) : /// cor ``i'' ``j'' use `temp', clear rename _stat_1 r_``i''_``j'' merge 1:1 start using `tofill' assert _merge == 3 drop _merge save `tofill', replace } } } } use `tofill' *----------------------------- end example -------------------------- (For more on examples I sent to the Statalist see: http://www.maartenbuis.nl/example_faq ) Hope this helps, Maarten --------------------------------- Maarten L. Buis WZB Reichpietschufer 50 10785 Berlin Germany http://www.maartenbuis.nl <http://www.maartenbuis.nl/> --------------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ Please access the attached hyperlink for an important electronic communications disclaimer: http://lse.ac.uk/emailDisclaimer

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**Follow-Ups**:**Re: st: Rolling window correlations for all possible pairs of variables***From:*Maarten Buis <maartenlbuis@gmail.com>

**References**:**st: Rolling window correlations for all possible pairs of variables***From:*<A.C.Tuncer@lse.ac.uk>

**Re: st: Rolling window correlations for all possible pairs of variables***From:*Maarten Buis <maartenlbuis@gmail.com>

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