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st: Rolling correlations

From   "kelly johnson" <[email protected]>
To   [email protected]
Subject   st: Rolling correlations
Date   Fri, 06 May 2005 14:44:25 -0400


how can you calculate rolling correlations in stata? e.g. suppose i have data like this:

date var1 var2

i want to create a variable that shows the rolling correlation between var1 and var2. how do i go about doing this?


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