i have 65 companies and 9 variables. How to choose the rolling window? depending on my objective? thanx
another question is can i perform PCA for panel data? as i tried but no luck. anyone can help?
Thankx
Search found 2 matches
- Thu Jan 26, 2023 8:12 am
- Forum: Econometric Discussions
- Topic: rolling correlation
- Replies: 16
- Views: 38941
- Mon Nov 21, 2022 7:25 am
- Forum: Programming
- Topic: Compute rolling correlation
- Replies: 2
- Views: 2085
Re: Compute rolling correlation
I have the same issue. I have a daily averages data for 25 days of 47 stations , and i am interested in using rolling regression/rolling correlation and wondering how to choose the window size? and how to compute the rolling correlation? any help?