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many thanks for your reply...

thanks again for showing the link on Panel VAR...

is the rolling correlation did correctly???

soo

Dear Gareth thanks again for your prompt reply.. appreciate it very much. attached herewith my workfile (series corr1). Kindly let me know if I am doing it correctly? secondly, allow me to ask a question on Panel Var. May I know can Eviews 7 run Panel VAR? When I have eviews file which set up in pan...

Dear Gareth Allow me to ask further question for clarity.. : I have two series, mi and usi for a sample of 4795. My understanding of rolling correlation is a overlapping window, meaning that if I set a window of 100, that means I will have first correlation from 1-100, 2-101, 3-102... so on and so f...

thanks for your prompt reply.


Yes. I have Eviews 7.

is it right, if I type genr corr1= @movcor(x,y,10) ??

Sooo

Dear Gareth I have the same problem with Jachinta, i.e. I will like to calculate a rolling (daily) correlation coefficient between two interest rate series for a period of 20 years. I read your suggestion that is to try the command, @movcor(x,y,10) where you mention 10 is the window size. May I know...

Dear all I wonder anyone has the program code for rolling correlation to share? I have two interest rate series and I want to examine how the correlation of these two series change over time. I have estimated it using DCC MGARCH but the results wasn't ok. We will like to examine the correlation patt...

Dear Glenn

noted! thanks for your prompt reply..


regards

soo

Dear Glenn Thanks for your reply! I forgot to mention in my earlier post that I have unbalance data (some data are missing!). My understaning is that once the data unbalance, we can't choose both effects at the same time. In other words, I have to choose either / or when the data is unbalance. Am I ...

Dear all I am estimating a panel data (country: 56, Year :19) for which there are some variables are non- time varying such as distance and language. I understand from econometrics textbooks and earlier posting in Eviews Forum that Fixed Effect model cannot estimate non –time varying variables. Howe...

I have a question on doing HAC(Newey-West) test in 3SLS. I estimated my equations using 2SLS via E-Views7. I did Newey-West test for the autocorrelation andheteroskedasticity problem. I then move to 3SLS using system estimate in Eviews7. However, I was not allowed to choose HAC test in 3SLS. Anyone ...