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Re: st: Rolling correlations

From   Cameron Hooper <[email protected]>
To   [email protected]
Subject   Re: st: Rolling correlations
Date   Fri, 6 May 2005 15:00:22 -0400

Have a look at -mvcorr-.

. ssc describe mvcorr

On May 6, 2005, at 2:44 PM, kelly johnson wrote:


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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