Search found 8 matches
- Tue Jun 15, 2010 11:12 am
- Forum: Program Repository
- Topic: Ideal Band Pass Filter For Stationary/Non-Stationary Series
- Replies: 18
- Views: 50975
Re: Ideal Band Pass Filter For Stationary/Non-Stationary Series
Thanks. Now I'm getting the error "Cannot assign string expression to numeric variable in "SERIES {%S_NAME}=resid".
- Tue Jun 15, 2010 10:43 am
- Forum: Program Repository
- Topic: Ideal Band Pass Filter For Stationary/Non-Stationary Series
- Replies: 18
- Views: 50975
Re: Ideal Band Pass Filter For Stationary/Non-Stationary Series
Is there a way of using this filter in a loop?
I am trying:
but it gives me an error that output name that was specified is reserved.
I am trying:
Code: Select all
for %i a b c
call IdealBandPass({%i},0.0625,0.33333,"ibf_{%i}","1950q1","2070q1")
next
but it gives me an error that output name that was specified is reserved.
- Wed Jun 09, 2010 9:23 am
- Forum: Programming
- Topic: Correlation question
- Replies: 0
- Views: 2019
Correlation question
Hi! I have a set of 200 variables and I would like to calculate cross-correlation among them. In addition, I would like to have the correlation matrix for the first half of the sample and then for the second half of it. There is a way of doing that from the command window?
- Fri Jun 04, 2010 8:36 am
- Forum: Data Manipulation
- Topic: Rolling window correlation
- Replies: 9
- Views: 13323
Re: Rolling window correlation
You were right. I used @movcor(y(alpha),x(alpha),2*alpha+1) where alpha is the size of the window and it worked.
Thanks!
Thanks!
- Fri Jun 04, 2010 5:37 am
- Forum: Data Manipulation
- Topic: Rolling window correlation
- Replies: 9
- Views: 13323
Re: Rolling window correlation
Isn't working for me...
Can I post the series that I'm trying to work with as well as the result I'm getting and I `correct' one?
Thanks.
Can I post the series that I'm trying to work with as well as the result I'm getting and I `correct' one?
Thanks.
- Thu Jun 03, 2010 1:37 pm
- Forum: Data Manipulation
- Topic: Rolling window correlation
- Replies: 9
- Views: 13323
Re: Rolling window correlation
Thanks, but still is not working. Even when I use this: @movcor(x(5),y(5),10) It does not give me the correct values (I'm checking with another software). For once, by leading the variable, I am getting rid of the first observations so that does not work. Maybe this example will clarify what I want:...
- Thu Jun 03, 2010 12:23 pm
- Forum: Data Manipulation
- Topic: Rolling window correlation
- Replies: 9
- Views: 13323
Re: Rolling window correlation
Thanks for your answer.
Isn't that leading both series? I guess I don't get how leading both series will give me at each point the correlation for both five years after and before.
Thanks once again.
- Thu Jun 03, 2010 5:47 am
- Forum: Data Manipulation
- Topic: Rolling window correlation
- Replies: 9
- Views: 13323
Rolling window correlation
Hi everyone. This is my first post in this forum and I am already asking questions. :) I have two series X, Y, and Z and each one of them has 50 yearly observations. I would like to create a 5-year rolling window for the correlation coefficient for all the possible combinations, but I am struggling ...