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st: time-trend in correlation equation

From   Bülent Köksal <>
Subject   st: time-trend in correlation equation
Date   Mon, 27 Feb 2012 14:15:13 +0200

Dear Stata Users,

I am calculating 90-days rolling-window correlations between
conditional volatilities of daily returns for two stocks as follows:

webuse stocks, clear

forvalues i=90(1)180 {
local j=`i'-89
mgarch ccc (toyota nissan= , noconstant) in `j'/`i', arch(1) garch(1) nolog

Two questions:

1. How can I accumulate correlations and standart errors in a file?

2. To control for time-effects in variances, we can include a
time-trend to the model:

.mgarch ccc (toyota nissan=, noconstant), arch(1)
garch(1) het(t)

My second question is, let's say that the correlations calculated
above increases. How can we test whether this increase is
statistically significant? Some papers included a time-trend in the
correlation equation. Is this possible in Stata, or is programming
necessary to achieve this task? Thanks.


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