Have a look at -mvcorr-.
. ssc describe mvcorr
On May 6, 2005, at 2:44 PM, kelly johnson wrote:
hi,
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?
thanks!
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