st: rolling covariance

["Olga Gorbachev Melloni" <olga_gorbachev@hotmail.com>]

Hi,

I need help writign a little program/do file that will do the following (so 
far i've been unsuccessful):

I have panel data with about 3000 individuals observed over on average 15 
years, unbalanced panel.

I need to see how sums of covariances b/w individuals changed over time.

Specifically, I need to compute for each 5 year block, the sum of 
covariances across all individuals within the sample, where

cov_t(y_it, y_jt)=(1/5)*sum_t{1 to 5} (y_it-y_ibar)(y_jt-y_jbar), where  i 
and j are individuals

so I take individuals i and j and compute their covariance of income over 5 
year period, and then I take i and m and then i and n ... and thus, for all 
individuals in the sample, and then I need to sum over those cov and do the 
same for the next 5 years.

Any help on programming this?

thank you,
Olga


Olga Gorbachev Melloni
Ph.D. student in Economics at Columbia University
(212)866-6091
502 W122 Street, apt. 62
NY, NY 10027


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