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# st: RE: RE: RE: RE: correlation, panel data

 From Nick Cox <[email protected]> To "'[email protected]'" <[email protected]> Subject st: RE: RE: RE: RE: correlation, panel data Date Thu, 14 Oct 2010 13:03:19 +0100

```tsset  gvkey_n  fyear
levelsof gvkey_n, local(levels)
gen corr=.
qui foreach l of local levels {
capture corr cf r_d if gvkey_n==`l'
if _rc == 0 {
replace corr=r(rho) if gvkey_n==`l'
}
}

Nick
[email protected]

Nick Cox

Put -capture corr- rather than -corr-.

This rather underlines that if some of your panels are very short, then those correlations will be based on very few values, with consequent problems. For example, a correlation based on two distinct y and two distinct x points will necessarily be 1 or -1. A correlation based on no or one point cannot be calculated.

Biljana Dlab

I tried to adjust the code, and am getting good results for the first two companies, but then it stops.

This is how I did it:

. tsset  gvkey_n  fyear
panel variable:  gvkey_n (unbalanced)
time variable:  fyear, 1971 to 2001, but with gaps
delta:  1 unit

. levelsof gvkey_n, local(levels)

. gen corr=.
(7609 missing values generated)

. qui foreach l of local levels {
. corr cf r_d if gvkey_n==`l'
. replace corr=r(rho) if gvkey_n==`l'
. }
no observations
r(2000);

Nick Cox

One possibility without installing anything is to modify this recipe:

sysuse auto
levelsof rep78, local(levels)
gen corr = .
qui foreach l of local levels {
corr mpg weight if rep78 == `l'
replace corr = r(rho) if rep78 == `l'
}

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