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From |
Richard Herron <richard.c.herron@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Rolling correlation coefficients with panel data |

Date |
Mon, 3 Sep 2012 17:22:48 -0400 |

The process is much faster if you calculate rho "manually" using Cov and Var created with summations. I use the following .ado file. HTH. *! 0.1 Richard Herron 10/15/2011 program rolling_rho version 11.2 syntax varlist(numeric), window(real) * get dependent and indpendent vars from varlist tempvar x y x2 y2 xy xs ys xys x2s y2s covxy varx vary tokenize "`varlist'" generate `y' = `1' generate `x' = l.`y' local w = `window' * generate products generate `xy' = `x'*`y' generate `x2' = `x'*`x' generate `y2' = `y'*`y' * generate cumulative sums generate `xs' = sum(`x') generate `ys' = sum(`y') generate `xys' = sum(`xy') generate `x2s' = sum(`x2') generate `y2s' = sum(`y2') * generate variances and covariances generate `covxy' = (s`w'.`xys' - s`w'.`xs'*s`w'.`ys'/`w')/`w' generate `varx' = (s`w'.`x2s' - s`w'.`xs'*s`w'.`xs'/`w')/`w' generate `vary' = (s`w'.`y2s' - s`w'.`ys'*s`w'.`ys'/`w')/`w' * generate rho generate rho = `covxy'/sqrt(`varx')/sqrt(`vary') end On Sat, Sep 1, 2012 at 5:45 PM, Alexandre Athanassiadis <msf11aa3@mail.wbs.ac.uk> wrote: > Dear All, > > > I hope you are well. > > In the context of my research, I am using a rather large dataset (730 > corporates, their daily stock price for the 2003-2011 period and the > risk free rate for the same period). Among other things, I am trying > to compute the rolling correlation coefficients of the stock prices > with the risk free rate. > > I have declared the data to be 'panel' without any difficulties: > - egen id=group(tic) > - xtset id Date, daily > > and I am using the following line to compute the correlation coefficients: > - rolling, window(20) clear; corr price rate > > Unfortunately it take ages to get the job done! Any ideas on how I > could improve my method? > > Thank you very much for your help, > > Regards, > > Alexandre > * > * 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/ * * 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/

**References**:**st: Rolling correlation coefficients with panel data***From:*Alexandre Athanassiadis <msf11aa3@mail.wbs.ac.uk>

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